Taken from http://www.stardock.com/products/windowblinds/wb3/wb3_guide_final.htm
Quote: "Windows XP allows users to choose between two different looks - Windows XP style and Windows Classic. Windows XP style has a large blue title bar that is rounded on the corners. The classic style looks like previous versions of Windows. Users can pick between 3 color schemes for Windows XP (blue, green and silver). To do this, Microsoft had to develop a set of APIs (also called a "skinning engine") to allow its visual style format (.msstyles) to change the GUI. Stardock made WindowBlinds when running on Windows XP embrace these APIs and then extend them to be faster, more featured, and more flexible.
So how does this work? On Windows XP, Microsoft's skinning engine uses a system hook to intercept paint calls to the title bar. This is done at a very low level so the overhead in doing this is negligible. When a program attempts to paint its title bars, Microsoft's hook intercepts the call and re-directs it to a DLL called uxtheme.dll. WindowBlinds instead re-directs it to its optimized wblind.dll instead which then uses uxtheme.dll or its own functions to handle painting (WindowBlinds can thus pick and choose between more APIs so it picks the fastest and most compatible APIs between the two).
Additionally, Microsoft provides a new common controls DLL that applications can use to make their application appear "theme aware". If you run Windows XP, you'll notice that most existing applications have new title bars but the buttons and radio buttons and check boxes and such have the Windows 95 look. WindowBlinds instead can re-direct all programs to use new buttons, scrollbars, menus, etc."
So, it just intercepts messages, no dll replacing involved.