In Windows Server 2003 for you to be able to make use of the Windows XP theme you have to start the services for "themes."
In Windows Server 2008 all you have to do is add the Desktop Experience Feature.

Windows Server 2008 Vista Theme - The Dell TechCenter

On Server Manager | Features | Add Feature | Desktop Experience | Install....

Windows Server 2008 Vista Theme - The Dell TechCenter

Once the installation is complete it will then ask for a server restart.

Windows Server 2008 Vista Theme - The Dell TechCenter

After the restart right-click on your desktop and click Personalize. On the Personalization window click on Theme; the Vista Theme option should be available.

Windows Server 2008 Vista Theme - The Dell TechCenter