Nothing Changes When Theme is Applied

I'm using a Dell Studio 1558 laptop with Windows 7 Home Premium. Downloaded LogonStudio just to try it out, but whenever I double-click a theme or select it and click Apply, it locks the computer (goes to the screen similar to the logon but when you're already logged on and just need to type your password) but the background/wallpaper is still the same. I tried a few of the pre-installed themes and downloaded one, none of them worked.