HOW TO: Configure Desktop Themes in Windows XP (Q307855)
This article explains how to configure your desktop environment by using desktop themes. Nice article with the basic info on changing, creating and deleting desktop themes.
A desktop theme is a predefined set of window elements that help you personalize your computer to give it a distinctive look and feel. Themes affect the overall appearance of your desktop, including the background, screen saver, icons, fonts, colors, windows, mouse pointers, and sounds.
In Windows XP, you can use the Windows Classic look as your theme, switch desktop themes, or modify elements of existing themes to create new themes and customize your desktop with the appearance that you want.
Click here for the kb article from Microsoft.