To use any built in WIndows theme go to Display Properties/Appearance. Now, if you want to take it a step further you can get a program like StyleXP.
http://www.tgtsoft.com/
There is also a free way of doing this. You can download the uxthemepatcher and get to use the visual styles for free. Follow the directions carefully
File is on the bottom of the download page at tgtsoft
Also here's a good place for wallpapers and Themes
http://www.themexp.org/