I don't really know how they do it. It is entierly possible there is a better solution than the one I am sugesting here, but I have seen it done this way before.
Remove the borders of the form, and draw your own bitmaps on the form and use transparent labels, or such for the OnClick event, etc.
For example, if you want a button that says "Click Me" and you would like it to have a nice graphical look and feel. use the Graphics namespace and draw your own bitmap/jpg/etc onto an x,y location on the form. And put a label at the same x,y and use the labels events like a command button.