It’s been a (very) long time since I played with Windows XP themes, but I seem to recall that while Microsoft does not allow theming beyond the “choose one of these predefined themes”, that’s actually enforced by a file called “uxtheme.dll” that expressly ignores non-Microsoft theme files. You can download a patched “uxtheme.dll” with that check disabled, and any number of third-party theme files can then be installed.

I believe the theme file format is a Windows DLL containing pixmap resources for the various window parts, and some very basic metrics resources defining shapes; I don’t believe the themes have any executable code, and at any rate there’s not much a theme can do to the layout of a window (buttons are always the same size and in the same place, etc.)

Presumably Vista’s Aero UI has some entirely different system in place.

[1] http://www.cs.purdue.edu/homes/smittal/blogs.gnome.org/metacity/files/custom.css
[2] http://www.cs.purdue.edu/homes/smittal/blogs.gnome.org/metacity/2009/07/16/the-wider-world-of-window-border-themes/index.html

If XP allowed some form of theming that didn’t make your computer more ugly, I’m sure people would make use of it just as much as they change their desktop backgrounds.