I want to change the normal Unity splash screen to be customized for my game and every time I change the splash image in the player setting it does not appear. So how can I do that please?
I'm assuming you don't have unity pro?
If you want custom splash screens for IOS you also need IOS pro.
Check out the licenses page: http://unity3d.com/unity/licenses
There is no splash screen built in for Unity standalone PC/Mac builds. You can change the banner on the config dialog. (See here http://unity3d.com/support/documentation/Components/class-PlayerSettings.html).
If you want a splash screen when the game starts after the config dialog happens you'll have to do it yourself. It's pretty easy, just put the image on a quad and make the camera so it sees the whole thing. You can do fading in/out with lerping the shader color over time, or something similar to that.