OK, this is not rocket science. Its just that you might develop great design for your applications for ArcMap, but it doesn't look so great when you compile your DLL and run ArcMap. It basically converts your application to an ugly Windows98ish classic boring style.
So today I will help you convert ArcMap style from this boring dull interface
To This cool interface
1. Download this file
2. Copy it to ArcGIS bin directory, that is C:\Program Files\ArcGIS\Bin most of the time
You can do the same with any application, if your application name is say, MyProg.exe, rename the manifest file to MyProg.exe.manifest and copy it in the same directory of your program. It will automatically render your application style.
It works with XP, I don't know about Vista though *unsure*