If you want to change the way Windows looks and feels (the GUI) the main way to do that is with WindowBlinds. But some people on Windows XP have found that if their hack their uxtheme.dll they can apply additional msstyles, a basic skinning format made by Microsoft to handle the blue/silver/olive visual styles. So some users have managed to put together some nice msstyles.

Most visual styles made are for WindowBlinds, but if you do manage to come across an msstyle on some site, you can now have it work on WindowBlinds very easily if you have SkinStudio 4.01 installed.

Here's a video of it in action (requires Windows Media Player 9)