I have exactly the same problem. I'm running WB5 enhanced and also Panda 2006. On startup there is no skinning. The WB icon does not appear in the notification area either until I log out and log back in again.
WindowBlinds 5.0 System Information Report:
STATUS : WB+ SRV+ HLP+ UI+ TRAY+
WindowBlinds is installed correctly on this PC.
WindowBlinds appears to be activated on this PC
Your machine supports per pixel borders on WindowBlinds skins.
You have one monitor in total.
(Plug and Play Monitor) 1 is attached to RADEON 9600 SERIES
Wblind.dll 2005/11/28 13:57:10
Wbsrv.dll 2005/11/28 15:52:00
Wbconfig.exe 2005/11/28 16:19:00
Wbload.exe 2005/11/25 19:30:58
Wbhelp.dll 2004/09/18 15:37:00
Wbui.dll 2005/11/20 12:23:40
Tray.dll 2005/11/02 13:28:26