Follow it up to step 5 (or more if you want). He uses the longhorn theme as an example. You WILL need the uxtheme.dll patcher in order to install new themes. You can find it here if you use windows xp sp2: uxtheme patcher at Softpedia
If you don't use xp sp2, then search softpedia for the right version for you.
Try this, it is awesome. You can change your theme, splash screen, login screen, object dock icons, all kind of stuff. Right now i have a John Wayne splash screen, a simpsons login screen, and vista theme on XP.q