It has its own colors (for not just the taskbar, but every part of the OS, such as menus, selected items and text), icons, cursors, sounds, wallpaper(s) and sometimes a screensaver (sometimes extras too, like custom bootscreens and web view elements for 9x themes and custom start icons for Windows XP to 7 themes). A desktop theme is a way to change the look of a Windows installation (Linux and Mac OS (at least older versions 😉 ) also have them, but not all Linux distros (distributions) have them instead you can change all, most, or some of the elements separately).