GonzoXP, I first had the same problem, but then I noticed that my shortcuts were all pointing to the older WinStyles program. Have a look at your shortcuts and make sure they point to ThemeMgr.exe instead of WinStyles.exe. I am not sure whether this will work for you, but it did the trick for me.
You can always clear that up by uninstalling theme manager/Winstyles and only installing the current version of Theme manager. Which version are you running? Does this happen when you apply a new theme or one you already have?