Hi, I had the same problem and figured it out:
If your Windows XP is crashing with a rundll32.exe error whenever you either try to change the background color, or the desktop theme then try this:
Check the following registry keys ensuring 'Administrators' and 'System' have full control:
HKEY_LOCAL_MACHINE\SOFTWARE
HKEY_LOCAL_MACHINE\SOFTWARE\Sophos
HKEY_LOCAL_MACHINE\Software\Classes
HKEY_LOCAL_MACHINE\Software\Classes\Interface
HKEY_LOCAL_MACHINE\Software\Classes\Typelib
You can do this by right clicking on the key and going to Permissions. If any keys don't then simply add them.
After i got hit with spyware, my Software\Classes didn't have the permissions, I changed it back and it worked!