Click on Start - Control Panel and click on Display to open up Display Properties window. In the Themes tab you can choose which ever theme you like.
The theme menu will only show the themes installed in the computer.
To download and install new windows xp themes open the browser and in google search for "downlaod windows xp themes" which will return the list of sites providing new windows xp themes.
You can download the themes and then choose them from the menu.