|Out of interest, are you using WindowBlinds?|
Check the Themes service is running and set to Auto. To check, follow these instructions:
1. Control Panel > Administritive Tools > Services
2. Scroll to the bottom and note Themes
3. Check it is set to Auto and is currently Started
If it isn't Started or it is disabled, then continue to follow these instructions:
1. Double click Themes
2. Where it says Startup Type, change it to Auto
3. Click Apply, then Start, and lastly OK.
Now check your themes are loadable via the Appearance tab.
I'd reccomend installing StyleXP, which will allow you to have themes that aren't so restricted by Microsoft Windows XP, although not as funky and stylish as WindowBlinds.
...It is simply phsychological analysis consisting mostly of theories I myself have to decypher and deter their respective plausibility...