Themes won't work

So I recently downloaded a theme for XP, installed it, and then went into Control Panel and selected it. When I changed it only the wallpaper changed but the rest of the display went back to the gray, Windows 98 theme or w/e...I've changed themes before and this hasn't happened, anyone know what the problem is?

Here is the theme I am trying it on currently http://jamiro-style.blogspot.com/2008/03/ferrari-carbon-v2-theme-windows-xp.html But I did try a different theme before this with the same results.