Although Microsoft has said that they won't document the format of Windows XP's theme files, that should'nt be too difficult. The .theme itself is just an ini file. For Themes with custom graphics, it points to an msstyles file specific to that theme. Luna uses:

C:\WINNT\Resources\Themes\Luna\luna.msstyles on my system

This file is just a resource file. You can view it in VC++ if you open it as resources. It contains a bunch of bitmaps, as well as quite a bit of other text stuff (XML?).

Happy Hacking!