Royale Noir

Is this a new theme installed?

Do you have Win98 theme installed as well?

Check in desktop:
Right-click>Properties and Themes.
It will default to what is there unless its installed as part of a modified theme.

I had XP on, but I changed it to Royale Noir. It's a different theme, released by Microsoft. I installed it in the right place and it works, but everytime I restart or shut off my computer, it puts it to "Windows 98" theme

Where did you place it the downloaded theme?
What if you put a different theme on and reboot.. does that also change back to Win98 theme?
What if you put the Win98 theme on and reboot... does it also change on restart to something else?