umm im using win2k but i think you would need style xp or that dll which i can never remember the name of.. then just apply the theme.. some one with more knowledge on this will prolly be along shortly to prove me wrong so i'll just stfu now .. good luck.. milk is kinda a sexy theme..
oh yea you might have to use other elements too.. icons... winamp skins etc...
:: the ablity to spell a word in only one way shows a lack of imagination ::
You'll need either StyleXP or the patched UxTheme.dll, the first is an external shareware program, the second is a free system file replacement but a bit awkward to apply. It depends on how confident you are modifying system files, and whether you want to spend 10 mins doing something fiddly now (replace the .dll), then never worry about it again, or 30 seconds opening StyleXP every time you want to change theme.
For more info on the .dll search through the last month or so of posts for threads titled "StyleXP" or "UxTheme.dll", it's been covered many times here.