Step One: Patch your system. This is the hardest and most crucial part.
Download Multi-patcher and/or follow these instructions.*
Make sure you read all the readme's.
Reboot
Step Two: Download themes.
http://customize.org/ is a great resource for customized themes.
Step Three: Open theme.
I put all my themes in C:\WINDOWS\Resources\Themes. Double click on your theme. And they should appear in Right click on desktop -> Properties -> Appearance -> Windows and Buttons.
Enjoy!
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*Replacing system files is not always dangerous but if you want you might want to set a restore point.
Note: There are two ways to accomplish this please try the 2nd one first then if you are unsuccessful then you can try the 1st one. The 2nd one did not work for me so I had to use the first method.
Original: http://twodayslate.wordpress.com/2007/04/14/windows-xp-themes-in-3-easy-steps/