Suggestions:
-If you are using a third party theme, go back to a standard theme. Then
try the control panel again.
-Look in Control Panel for a second icon related to display. Some systems
use a proprietary icon in addition to the default Display properties. My
tablet PC with an Intel onboard chip does this.
-Could try replacing the desk.cpl with a fresh copy from the XP CD.
-Take a look at some of the suggestions from MVP Kelly Theriot's FAQ that
relate to display problems. Title of the section is "why does Windows XP
style change to Windows Classic style" (click topic to expand) but there
are some relevant suggestions within the discussion:
http://www.kellys-korner-xp.com/top10faqs.htm