It seems kind of strange that you wouldn't have the XP theme when you upgraded to XP. But, that's Microsoft for you.
What do you have listed in the themes window?
Do you want the Original XP blue Luna theme? Or were you going for something fancier off that site? If you want the Orig theme, I can just upload it to the internet and give you a link.
EDIT: I'll just upload it right now. It's 779kb.
I'll post the link for you when It's done uploading. Dialup = bad