If you want to use the WinXP built in theme-system:
The problem is that you can only install themes approved and digitally signed by M$. Because of this, they are not free (M$ doesn`t do that kinda stuff for free). But if you want to install the freeware themes found on the internet (which don`t have a digital sig), you`ll need StyleXP, which can disable uxtheme.dll, the dll that checks for digital sigs and disables themes without one. This is shareware, and I don`t pay money for stg I can do in 5 minutes. There`s a way to patch Uxtheme.dll and disable this protection, so the downloaded themes will work just fine (previously they would revert to classic windows after clicking apply). Actually, i`ve found many patchers on the internet too. just do a search for uxtheme.dll.
As for WindowsBlinds, it`s not free, and the shareware version doesn`t change scrollbars, which looks stupid. I would reccomend the first method. LiteStep is a more radical change, as it`s an entire shell replacement. Explorer.exe is not only the Windows explorer/My computer program, but it`s the shell of Windows, and get`s loaded every time you start Windows. If you press Ctrl-Alt-Del and stop explorer.exe, the taskbar, the icons, everything will be gone (Windows will start the program again soon). Litestep replaces Explorer.exe as the shell, thus you can change much more things. I`ve tried it, but the loading time was awful. You can give it a try if you want, but it`s not that easy to configure and customize. It does offer some powerful features however.
Another shell replacement program is Aston, not bad, but it`s shareware too.
And finally, go to wincustomize.com for lots of themes, bootskins, logon skins, and much more