You dont have to settle for the default Microsoft Desktop Themes that come with Windows XP. There are a few unofficial Microsoft released desktop themes that you can add to your collection for free. Here they are:

Microsoft Zune Theme description

A special Windows XP Theme from Microsoft designed to look like its new Zune portable media player

Microsoft Zune Theme is a special Windows XP Theme from Microsoft designed to look like its new Zune media player. This is an official skin for Windows XP that has a dark grey style and orange Start menu. Download it here directly.

Royale Theme

A new theme, potentially destined for Windows XP. Freeware

Royale Theme is a new theme, potentially destined for Windows XP , that has leaked out of Microsoft and onto the web. The theme appears to have come out of a beta version of Media Center 2005 that was in testing.

The theme is not a substantially different incarnation of the existing of Luna, the current default theme for Windows XP.  You can see the main changes in the screenshots below; one could describe it as being a 'glass mod' of Luna. Download it here directly.

Royale Noir

Is a welcomed alternative to the extremely small collection of verified-by-Microsoft XP themes, similar to the Royale blue.

Download it form here directly.