If you like the appearance of Windows Vista but don't want to give up on Windows XP yet, FastAero may be the solution you're looking for.
This easy standalone application applies a Vista-style effect to all the windows and applications you open in your system, using the same transparency, shadow and glossy effects that you'd get with Vista.
The best thing about FastAero is that it doesn't require installation and applies the new appearance immediately to each new window you open after launching the program.
The program also supports skins, which you can download from the developer's website.
On the downside though FastAero seems to be still at an early development stage.
The default skin shows some artifacts and the program lacks advanced functionality, like a proper configuration menu where you can choose skins instead of having to edit an INI file.
Plus it adds a tiny yet annoying delay to every window you open.
With FastAero you can immediately apply a Vista-style effect to all the windows and applications you open in Windows XP.