Depends on which route you want to take.
There are a couple:
1. Use visual styles.
2. Style XP
3. WindowBlinds
4. Bricopacks
5. Transformation packs
And many, many more. A good site to start off is wincustomize.com for 2 & 3; it'll give you a lot to choose from. Deviantart.com is a great place for visual styles, but this involves overriding a Microsoft theme file to allow 3rd party visual styles.
For bricopacks, you can look over at crystalxp.net for some great ones that can mimic other OS's such as Vista, etc. Transformation packs, you can practically get anywhere if you google. There are many of these out there that does pretty much the same thing bricopacks does. A good example is osx.portraitofakite.com which mimics the MAC OS.