Go to Start/Administrative Tools/Services/Themes. Set to Automatic.
Also check your settings here:
Start/Administrative Tools/Services/Terminal Services/Log On. At the bottom
ensure that Hardware Profile Original Configuration is Enabled.
If the above doesn't apply/nor help:
Only windows Classic is listed under Appearance:
1. Right click on the desktop and choose Properties.
2. On the Theme tab, choose the Windows XP.
3. If this option is missing, you may choose Browse... to
C:\Windows\Resources\Themes\Luna.theme
4. The Luna.theme is the theme of the Windows XP.
If Luna.theme is missing: Go to Start/Run/Msconfig/Expand Files:
Luna.MS_ and Luna.TH_
Restore Luna Theme (Line 187)
http://www.kellys-korner-xp.com/xp_tweaks.htm
Restore Themes Functionality (Line 187)
http://www.kellys-korner-xp.com/xp_tweaks.htm
Troubleshooting Themes
http://www.kellys-korner-xp.com/xp_t.htm#themes