Have you ever wondered why Windows Vista allows you to choose themes, but there's no way to add custom themes without additional software? The reason is because Windows checks the themes with a cryptographic key, so you have to patch windows to allow custom-created themes to install. Details @ The How-To-Geek
IMPORTANT NOTE: Patching windows isn't necessarily "safe" and shouldn't be attempted unless you are willing to troubleshoot problems. There's also some chance that it would void your warranty, etc etc. The point is that you might encounter problems.