How to make a .msstyle ?

At this stage of the game you would probably need to switch over to using Windowblinds from Stardock to apply your themes, and SkinStudio (which is also from them) to change the OS images. Designing for .msstyles is pretty well coming to a standstill what with Windows Vista and Windows 7 being out.

It should be noted you can still make your own Windows 7 Themes with a cracked theme .dll, however, they are not in any way shape or form FREEFORM skins like Windowblinds provides. The aero theme system thus far provides a static size and shape for it's windows (and Stardock has had some problems getting around this themselves)

You need to reshack some theme file with reshack or other soft.
You can also try http://vistastylebuilder.com/index.html but it is not free