I can think of only two reasons why you would experience the subject problem:
1. You have an OEM version of Windows XP and the provider didn't include the Windows XP Luna theme nor did they include any new Windows and Buttons themes.
2. You are running the the Itanium (64-bit) version of Windows XP, which does NOT install the Theme service, and does NOT have the Windows XP Luna theme or any new Windows and Buttons themes.
NOTE: The Itanium version does include the new Start menu.