In Windows XP if you want to apply additional visual styles beyond blue, green, and silver you have to install additional software to do it.
That software will take one of two paths: Either use .msstyles files, which is the skin format Microsoft used to create its 3 bundled visual styles or it will use its own format.
Microsoft runs .msstyles files through a bundled DLL called uxtheme.dll. For compatibility and branding reasons, Microsoft made uxtheme.dll only run Microsoft digitally signed .msstyles files.
So if you want to use third party .msstyles files you have to either convert it to a different visual style format or disable Microsoft's digital signing protection.
WindowBlinds takes the former route. It has its own visual style format and sends skins through wblind.dll instead of uxtheme.dll (i.e. using WindowBlinds does NOT take extra memory).
Style XP, Star Skin, Tune-Up, uxtheme patches take the latter. They patch out a few bytes in uxtheme.dll to make the API CryptVerifySig() always return true. Style XP 2.x does this in RAM using a driver that loads when you boot. Most uxtheme patchers literally replace the uxtheme.dll on your hard disk.
Both methods have their own advantages and disadvantages.
WindowBlinds has the advantage of being continually updated. So performance and other enhancements suggested by users are able to be implemented. Because it has its own skin format, its visual styles can have additional features (borders of any size, buttons can be placed anywhere, sound effects, colorizing, etc.). You can learn more about it HERE
WindowBlinds has the disadvantage that is not free. It's $20 to register (or you can get it as part of Object Desktop
Also, because its skin format is more free-form, you end up with a lot of strange looking skins. So users looking for something that's like the standard Windows UI may have to sift through a lot of strange (or ugly) skins.
Using SkinStudio, a free program you can download HERE
you can use .msstyles files under WindowBlinds. Its accuracy in conversion continually improves but some visual styles still may have to be tweaked to be perfect.
Another WindowBlinds disadvantage is that if you have a patched uxtheme.dll you have to hold down the CTRL key when opening display properties to see the .msstyles files in your themes directory.
The advantage for using a uxtheme.dll patch is that it is free. You simply replace your uxtheme.dll and you can make use of the hundreds of .msstyles files available.
The disadvantage of using uxtheme.dll is that it's a bit more technically involved to get installed and has to be replaced every time you update Windows XP's build. This is pretty minor if you're technically savvy.
Replacing uxtheme.dll WILL NOT increase your vulnerability to viri or spyware. It does not disable Microsoft digital signing globally, only on .msstyles.
Obviously uxtheme.dll can't make use of visual styles in the WindowBlinds format.
As for Style XP, the advantage of using Style XP is that it makes it much easier to patch uxtheme.dll. It does it in memory and is pretty seamless in doing so. So a "non-techie" ends up with a nice easy interface for using third party msstyles.
The disadvantage is that it's $20 to use and requires updating it every time Windows XP gets updated to a new build #.
Which you use depends on what your needs are. None of these methods use up very much memory. In an age where the typical web browser uses 20 megabytes of memory, visual styles use hardly any memory at all. And none of them, on a modern machine, should slow down your computer in any noticeable way.