How are you saving the theme? If your saving the theme as a themepackage, then windows will automaticly grab the sounds and save them with the themepackage. If you just save it as a theme and try to copy the .theme file, then that does not copy over the sounds when you move it to another computer.
If you open up the theme file with notepad you will see that the theme does save your scheme and the individual sounds paths.
About the colors, I believe you can still get to the old windows color chooser and change the colors there. I know its in the color personalization area. You just gotta look.
Hope this helps.