I too have been missing this feature since I "upgraded" to WM2003. After searching for info here and striking out, I decided to tackle it and just got it to work as follows:
1) DL and install the
MS Theme Generator .
2) Go to the C:\Program Files\Theme Generator\ThemeSwitch folder that is created and copy the file ThemeSwitch.CAB to your Ax.
3) Use File Explorer or a similar utility on your Ax to browse to the CAB file and select it to install the proggie.
4) Go to Settings>Today>Items and select Theme Switcher > Options to have it appear on the Desktop and set the themes you want it to cycle thru.
It will find all .TSK files as long as they are under a My Documents folder. I keep mine in Built-In Storage>My Documents>Themes, figuring that if the Ax dies and I lose the BIS, it's no great loss 'cause all the Themes are on my PC as well.
Hope this info helps - mastman