LimeWire can use various skins that change the way it is displayed. One of these skins is the "Windows theme", which will make it look like a Windows program. The screenshots on the website are from LimeWire using the Windows theme. You can change the skin by choosing View -> Apply Skins -> "Windows Theme". LimeWire Pro by default uses the "LimeWire Pro" theme. So to make it look like XP you'll need to change it to the Windows one.

Other stuff you might also want to check (but try changing the skin first, that's the easiest)...

The English installer is needed to view LimeWire as it looks on the website. This is because the international installer uses an older version of Java that doesn't have full support for the XP look.

Try also going to java.com and making sure that your version of Java is up to date. You will need version 1.4.2 or above to see the true Windows XP look. Java 1.5 (only available from java.sun.com right now) has the best XP support, although 1.4.2's is also very good.