Search the web for 'PatchXP' or PatchXP-SP1. Download
and install per directions. Be careful and make sure you
get the SP1 verison if you're running SP1. This DLL
patch is free and will allow use of non Microsoft visual
styles without having to load additional software like
ThemeXP or WindowBlinds. The result is the use of visual
styles that take no more system resources than the
default MS visual style.
Sites like themexp.org and neowin.net have tons of free
themes and visual styles.
I've found downloading to a separate 'themes' directory
works well just to collect the ZIP files.
Right-click on the ZIP and 'extract' to
\windows\resources\themes\ directory. Usually, a new
subdirectory containing all of the styles' needed files
is created.
Navigate into \windows\resources\themes\<style
directory>\ and double-click on the .msstyle file.
Windows will automatically present Display Properties
with the new visual style already selected.
Some styles let you change colors. You can do this by
clicking on the Appearance tab when working with Display
Properties.
Remember to hit 'Save As' to save your theme once you
have icons, sounds, etc. set the way you want.