I've 'patched' Windows XP so that I can install unsigned visual styles right into the OS. There are many places on the Internet you can download unsigned visual styles from, one of the best places being DeviantArt.
The benefit of changing the look of Windows XP this way is the minimal increase of resources compared to having to install and use a 3rd party program like Stardock's WindowsBlinds.
The procedure requires you patching a system file known as 'uxtheme.dll' in order to allow unofficial visual styles to be added into Windows XP. A uxtheme multi-patcher is available which automates the process, which can be downloaded here: Download Uxtheme Multi-patcher 5.5 - Uxtheme Multi-patcher - A patch that will change your uxtheme.dll on Windows XP - Softpedia
Once that's done, you can add new visual styles to Windows XP by placing them in the c:\Windows\Resources\Themes\
Step five in the following article directs you to some places where you can download unsigned visual styles.