Ok so you can have visual styles on Windows XP,Vista and 7 (Not any earlyier doubt any of you guys have win 95) Anyways the first thing you need to do is get a UX Theme patch.
For XP:
http://www.softpedia.com/progDownload/UXTheme-MultiPatcher-Download-2369.html
For Vista:
http://www.codegazer.com/vistaglazz/downloads/
For 7:
http://soft3.wmzhe.com/download/deepxw/UniversalThemePatcher_20090409.zip
So once you have installed the correct theme patcher for your version of windows run them and they should look like this.
(Uxtheme patcher)
(VistaGlazz)
(Universal Theme patcher. On my system by the way.)
Right now on uxtheme patcher click patch. Yes its that easy. all you have to do know is restart and then your ready for third party visual styles.
Vista users its a bit different. You click the computer icon then restart i think it will prompt you to so do it then you too are ready
Win 7 people (Like me :] ) You click patch on each and then restart it will prompt you. By the way
Universal theme patcher comes in .zip so you will need some kind of un-archiver like winrar or 7-zip also it comes in two versions x64 and x86 it depends what bit type of windows you have i have x86 (x32) Most people have that so yea just use that.
Know to the visual styles. You will need to go to this website:
www.deviantart.com and go to customisation>Skins and themes> Either Windows utilites, Windows vista utilites or 7 utilites. Then either Winstyles, Visual styles or visual styles 7 depends which you go into and what version you have.
Once you have done that find a visual style you like and extract it to your destop. Then Go to Start>Computer> (Your Main Drive)> Windows> Resources> Themes.
Now go to your desktop and get your theme files and drag them in
Heres a screenshot on Win 7
Oh and that's what Win 7 looks like with a visual style and all the system files modded.