I had the same problem so many folks were reporting here; WB5 installed but all I could get was the 'classic' skin in XP. I was about to uninstall it but fortunately just before I did I noticed that our network firewall had logged a failed connection to sdcentral.stardock.com/activate/activate.aspx at about the time I installed the beta.
So I fired up Stardock Central and saw that WB5 wasn't activated. I asked it to activate, then set a theme, and all was well.
I have two comments on this. Firstly I clearly remember watching SDC finish off the beta install and say 'activating'; it did not display any error that I could see, even though I know now that the activation failed.
Secondly, if the app isn't activated, at least it could refuse to run or complain when I try to set a theme, rather than just not working and leaving me to work out why! I even checked the event log files and there was nothing to lead me to believe that the app was deliberately not working as appears to be the case ...
So I thought I'd just mention this to others in case they also have an activation problem.
PS I just looked at wb5.log in sdcentral\installed dir and the last four lines are:
Execute: C:\Program Files\Stardock\Object Desktop\WindowBlinds\wise_post.exe 1
Activation: 0 Failed (0)
Update: C:\Program Files\Stardock\SDCentral\installed\wb5.xml 1
Result: Update successful
As can be seen it says 'update successful' even though it knows the activation failed.