Don't put the keyfile on the DVD it'll mean anyone can steal it and use it to reg their copy of whdload. THIS IS BAD. WHDload people won't be happy about that!
If you want to do something to make the splash go away then try adding:
into your s:whdload.prefs file (you may need to create this).
More info about the prefs file can be found here.. http://www.whdload.de/docs/en/opt.html