XP comes with a one "visual style", with three color variations, that uses bitmaps to draw a window and most of the UI. Same as skinning, but this time the bitmaps, .ini files, .xml files and some more are incorporated in some heavy .dll, .theme, and .msstyles files. Visual Styles implies more advanced effects and skinning technology for WINXP whereas themes is a general term for packaging cursors, wallpaper, screensavers, logon screens etc.
However, if you want to use more visual styles with WINXP you will have to patch the skinning engine (break windows protection) to allow you to use unsigned visual styles. StyleXP like I mentioned above (see corrected URL) is one of those programs.
Want more theme sites? Just do a search in Google.