Make sure Luna.Theme inside the Resources and Themes folders
Make sure shellstyle.dll in all 3 folders that are inside the C:\Windows\Resources\Themes\Luna\Shell folder
Now right Click the Desktop and Select Properties
Under Themes,make sure its set to WindowsXP (Modified)
Under Appearance,make sure that Windows and Buttons is set to WindowsXP Style
Post back and let me know what you find out?