Ok, more than likely your c:\Windows\Resources\Themes\Luna\luna.msstyles files has been corrupted.

In order to fix this you will need your Windows XP Install CD. Make a new folder in the root of your c: drive (eg. c:\temp). This is where we are going to extract a good luna.msstyles file. Put in your XP Install CD. If it autoruns just close it.

Go to a command prompt. (eg. Start, Run, Type command, and hit enter.) You should now see something like this C:\DOCUME~1\youruser>. Type in the name of the CD Drive you put the disk in followed by a colon (eg. D:). Now for the fun part. Type in cd i386. Now type in expand luna.ms_ c:\temp. You should now have expanded the file into your temp folder. Type exit to close the command prompt. Go to your temp folder and rename luna.ms_ to luna.msstyles. Double click on it to set your appearance to XP to see if it works. If it does copy the file to your c:\windows\resources\themes\luna folder.