I myself use
Stardock's WindowBlinds to customize my desktop and shell and whatnot beyond what Windows XP comes with. Stardock makes a whole bunch of other customization programs too, like Object Desktop (which puts a Mac OSX-style quick-launch menu on your desktop) and BootSkin (which lets you change the Windows boot screen).
Once you've got WindowBlinds installed, you can head over to
WinCustomize to download themes from a library of over 3500 skins. They've got skins and stuff for a whole bunch of other programs too.