The splash screen uses PNG files. Just make sure the resolution is equal to your TV, or you may get a distorted/pixelated image.
Then you can drop the file into /home/pi/RetroPie-Setup/supplementary/splashscreens. All the other splash screens will be in there, typically in their own directory with just the image inside it.
Once it’s in there, run
sudo ~/RetroPie-Setup/retropie_setup.sh
Navigate to option 3 (SETUP), enable splash screens, then select your splash screen.
I can go into more detail if needed.