Hello, can you post some code? Just some guess. Have you embed all resource files into the xap file? What is the size of the xap file? You need to set the resource files' build action to "Content". Where is you xap file? You can't put it in the ClientBin folder if you want to use a splash screen. The xap file must be put under the same folder as the hosting html file.
shanaolanxing - I'll transfer to the Windows Azure team, and will have limited time to participate in the Silverlight forum. Apologize if I don't answer your questions in time.