I don't know why anybody would want to do that either, but there are people that do.
Take this for example:http://users.pandora.../calmira/calxp40.htm
The few remaining Win3.1 users can make it look XP-ish.
But Calmira does add extra things that are useful too.
If I was going to attempt to change that banner I'd want something totally custom and uniquely my own. Maybe a FisherPrice XP banner that looked like something from the toy company
The reason why it is reverting back to the original every time you update is probably because the version info changes slightly with each update, and the update is replacing it on you.
Now I don't know where to replace that graphic without doing a bit of research, but if you wanted it to stay replaced, the application that does it for you would probably have to load at startup, replace the graphic, and then exit...each time you reboot.