Standard XP Style theme (Luna) gives you three options for color schemes. Blue (default), Silver and Olive Green. You can reach here by right clicking on the desktop and by selecting appearance tab. But these three are not very exciting.
Adding color schemes is not very easy. Themes are well protected in the XP file system and it is not very easy for anybody to make changes. There are commercial programs available in the market like Windowblinds (fromStardock) and StyleXP (from TGTSoft) which enable you to change the themes in XP. You may try using UXThemePatcher which enables you to use any third party visual styles by patching your theme engine files.
WindowBlinds is used by many people quite effectively to create new color schemes. Here are step by step instructions:
1) Download and run WindowBlinds using this link http://www.stardock.com/downloads/.
2) Go to “Visual Style” from the “Home” screen.
3) By clicking on the colors tab you may change the colors of your visual style.
4 ) Click on the “Change skin system colors” to make adjustments to windows, pop up dialogs etc. Select “Create new substyle” from the “Select a substyle to edit”. Give a name to your substyle.
5) Use the “Select a color to edit” to customize the colors of your theme. Here you can select any element and change colors. Click apply changes on the main menu to apply your new color scheme to your XP.
One word of caution before you embark on this adventure. Create a restore point so that you can come back if things do not turn out to your liking.