The easiest way to skin XP is to use a program. There are two that stand out:
WindowBlinds and
StyleXP
I personally prefer using StyleXP, since from what I've heard, it doesn't hog up system resources at all, whilst WindowBlinds on the other hand, manages to slow the computer down a fair bit.
But WindowBlinds is more powerful and more professional looking compared to StyleXP. More people develop skins for it as well.
It all boils down to choice. In the end, they both cost $20, so unless you can get a key somehow, you'll be paying for it either way.