I'm not sure if anybody else has this problem, but after I have used XP for a while the menus seem to revert to an ugly 3D look instead of having the clean, flat border. No amount of tweaking seems to get back the flat menus except going back to the original XP theme and re-customizing everything.
After turning up empty handed on Google and elsewhere I diff'd the registry against a machine I hadn't contaminated yet. Here's the registry key that seems to cause it:
3D menu look
Flat menu look
You'll need to log out and log back in again to make it take effect. As always, edit the registry at your own risk.