It is not clear enough do you mean RadWindow or RadRibbonWindow? (The window from your screen shot is RadRibbonWindow).
RadribbonWindow uses the Windows System Themes and currently we support themes for Windows XP SP3 and above. As Windows XP SP2 is not supported then the theme that you see is the default classic like theme. If you want something similar to WindowsForms version then you have to upgrade at least to XP SP3.
the Telerik team
Do you want to have your say when we set our development plans?
Do you want to know when a feature you care about is added or when a bug fixed?
Telerik Public Issue Tracking
system and vote to affect the priority of the items.