Hive: HKEY_CURRENT_USER
Key: Software\Microsoft\Windows\CurrentVersion\Policies\System
Name: NoColorChoice
Name: NoSizeChoice
Name: NoVisualStyleChoice
Type: REG_DWORD
Value: 1
disabled
The above settings let you restrict specific controls. If you want to hide the Themes Settings page:
Hive: HKEY_CURRENT_USER
Key: Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Name: NoThemesTab
Type: REG_DWORD
Value: 1