If you've loaded the WindowsFX software, just start it up set your preferrences in the configuration dialog screen. If you check the box that says run at startup it will always be on when you start your computer.
Some of the effects only work on Win2K or XP.
hmmm... it occurs to me maybe you're refferring to all the crazy looking titlebars and buttons in the screenshots here. That's done with a program called WindowBlinds.
Browse through this link https://www.wincustomize.com/faq/ and you should find all the info you need to get started.
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