This a message from www.delphi3000.com (this is a Delphi site, and the article is Delphi-specific, but this portion explain why a normal VFP app no can't get the Win Xp interface:

Well, I'm sure that you were sad when you saw that Delphi-made apps doesn't take visual enhancements under Windows XP. Me too. I thought that something went wrong in my code but the answer is in front of each Delphi developer: Delphi 6 doesn't support WinXP, even with the Update Pack 1 installed. Then, what to do? Be calm and start pointing your browser to www.tmssoftware.com . The guys at TMS made a free component named TWinXP that placed on your mainform makes your app theme-aware.
Wow: is it all here? No, because not every component can be XP-compliant: only the ones that wraps the comctl32.dll can be converted to the new gui style.
What can make a Delphi app theme-aware? The answer comes just from Microsoft: you need to add a "manifest" xml file to your resources that force the app to use the comctl32.dll version 6.0, just because Windows XP ships both version 5 and 6 of that file, in order to ensure backward compatibility.
So almost all the components in your Win32 page of the Delphi palette will adopt XP themes

NOTE: The components need be wrapper for Comctl32.dll....