You need to add a manifest to your application to enable XP visual styles. There are pages in MSDN on how to do this. You can also add a manifest to the IDE itself if you want visual styles to take effect at design time, but I strongly recommend against it, since doing so actually alters your resource files to make them unreadable by most people.
The next version of .NET, due out in a few weeks, is mainly a bugfix release but contains a few nifty features, one of which is Application.EnableVisualStyles, which goes around the need to add a manifest entirely.