This has to do with a Policy setting made either via gpedit.msc or manually via the registry. The side effects are that Windows and Buttons are greyed out under Desktop Properties/Appearance and the check box under System Properties/Advanced/
Performance/Settings that reads: Use visual styles on windows and buttons, does not remain checked. This edit corrects that behavior. Download and apply either one on line 214, they are the same edit.

Windows/Buttons Greyed Out under Appearance and/or Windows XP Style Changes to Windows Classic  or (Line 214) http://www.kellys-korner-xp.com/xp_tweaks.htm.  

Other checkpoints:
1.  Right click the My Computer icon/Properties/Advanced/Performance/Settings.  Verify that: Use visual styles on windows
     and buttons is checked.
2.  Windows Explorer/Tools/Folder Options/View.  User Common Tasks in Folders.
3.  Right click the Desktop/Properties/Appearance.  Windows and Buttons choose:  Windows XP style.
4.  Start/Administrative Tools/Services.  Scroll down to Themes and verify that the service is started.

Troubleshooting Themes in Windows XP
http://www.kellys-korner-xp.com/xp_t.htm#themes

Stuck in Classic View? (Line 271)
http://www.kellys-korner-xp.com/xp_tweaks.htm