Basically, the uxtheme.dll is responsible for the skins in XP. And some clever sausage patched this file to allow the use of third-party themes with no skinning programs needed.
Once upon a time it had to be installed manually via the command line but it didn't take long for someone to whip up a script which did all the work for you,
like so.
(The linked version is for SP2 btw)