Windows XP has the ability to use “Visual Styles” to change the user interface. However, visual styles must be cryptographically signed by Microsoft to run. Many people are stuck with the default Luna theme that ships with Windows XP. Energy Blue was another theme officially approved by Microsoft and was a welcome change.
The only way to install unsigned themes is to patch the uxtheme.dll. If you are using Windows XP SP2, you can patch up the dll using an easy installer from Studio 7. Do read the instructions carefully while installing the patch.
Windows prompts you to undo the changes done by the patcher which should be discarded. Once you are restart your system you are ready to try out new themes.
Try out these themes:
A quick Google search will lead you to more such themes
On the downside its not recommended to install unsigned themes since they can have a major effect on the performance. Windows analyzes the performance impact of visual effects and uses this to determine whether to enable them, so as to prevent the new functionality from consuming excessive additional processing overhead.