Sorry, but I don't know anything about that. That has nothing to do with skins, 'cause that screenshot you posted is from avast! ON-ACCESS scanner. It's not skinable... so, i don't have that problem, and I don't know how you could have it... Probably 'cause you are using one of those "bad" Visual styles for Windows XP, not original XP theme (Blue or silver one). Those are without errors. So many people makes those visual styles with errors and without checking it forst is it working well... and what's even worse, they publish them and those visual styles are available for download. Try with cheking on some other themes. I have more than 20 different visual syles for Windows... none of them has problems like the one you just showed us...
My advice, don't use Visual Styles for Windows unless you are 100% sure that the one you are going to use is 100% OK and made by good visual styles designers...
P.S. Here is one of those visual styles that i use... those are 100% OK. Take a look at screenshot...
Cheers !