After doing some googling i found some people who had problems installing any themes at all, which sounded like a similar problem, and they fixed it by going to Start->settings->control panel->Administrative Tools->Computer Management->Servies and Applications->Services->Themes and changing it from disabled to manual. I went to the same place and found mine was set on automatic, so i changed it to manual and rebooted, and my theme stayed the way it was supposed to! Woot!
Unfortunatly i was actually familiar with that particular bit of the admin tools (though not it's relation to themes) because if you look right under services you see... WMI Control!!! Ack! It won't leave me alone!
Okay, i'm going to go play Civ4 now and hide from WMI.