For Windows XP machines that are members of a DOMAIN, the "Windows Security" and "Lock/Unlock" screens are not skinned. For workgroup/stand alone machines you do get the WindowBlinds 4 skinned dialogs.
Just one of those things I guess! Must be to do with how the MSGINA.DLL works in the system rather than user space. Maybe WindowsBlinds 5 will be able to delve deeper into these dialogs?
- Andy.