Will you explain that what do you get when you move on to Display Properties,
so we can help you better. Don't you have Appearance tab in Display
Properties as well.
If you are using Windows XP Professional then you can try this:
1. Click Start - Run - type GPEDIT.MSC
2. Expand to:
User Configuration
Administrative Templates
Control Panel
Display
Desktop Theme
3. In the right-side pane, check for the entry name called "Remove Theme
option".
If it is set to "Not Conifgured" or "Enable" then double-click the entry
change it to
"Disable"
For both Windows XP Professional and Home Edition:
1. Click Start - Run - type REGEDIT and press enter key.
2. Expand to:
HKEY_CURRENT_USER
Software
Microsoft
Windows
CurrentVersion
Policies
Explorer
3. In the right-side pane check for entry name called "NoThemesTab".
4. if it is there then select the entry and delete it.
Now, goto Display Properties and see if you are able to change the theme.
Else, you need to provide us further details that what you get.
Hopet his information helps you, let us know!