In order to skin the windows, you need a program such as StyleXP, Windowblinds, or UXTheme Multipatcher.

StyleXP - http://tgtsoft.com/download.php
Windowblinds - http://www.stardock.com/products/windowblinds/
UXTheme Multipatcher - http://www.neowin.net/forum/index.php?showtopic=140707

After you download one of these, look for a skin that matches your theme :)