Basically what you're looking for is a program called Resource Hacker and then with this program you can replace .bmp images in specific files which will then change your XP appearance.
It's a wee bit more complicated than that though.
You need to disable the Windows File Protection Service (Do this at your own risk). I haven't done this in a while and so can't remember how to do it but you should be able to find out how through Google.
You'll also need to make back-up copies of anything that you edit as screwing up some of these file will really wreck your life.
Finally, there's some registry keys you'll need to change to point to new files etc which you'll also have to consult google for as I just can't remember which ones.
In saying that it is posible, here's one I did earlier;
Okay so it's not finished and I haven't got a current image as I'm just recovering from a format but you get the idea.
Also, as mentioned above you might want to post this in the Windows forum where you'll also find a Desktop thread which is great for ideas.
The files you'll need to modify are;
*:\windows\resources\themes\luna\luna.msstyles for the XP environment
*:\windows\system32\logonui.exe for the logon screen
Good luck with it.