OK Light Star and Wimpy here is what I found and I have a fix I beleive ...
Open PSP and go to file/preferences/file format associations
there select the file formats to be opened with PSP.
Then go to SKS6 and go to tools/preferences
on the advanced tab where it says "when editing use the following operation
set this for OPEN.
Try opening the shell styles again - it should work in XP
I found this problem only in XP for my Vista is set for custom to use the program I choose.
Which is usually Photoshop CS3 - but some people do not have this and use PSP.
There is no problem with a custom setting for PSP in Vista - just for XP as I see it here.
Good luck and I hope this fix works for you all. If not let me know and I'll look into this even further to figure it out for you. I know it is needed to do what you want with the program and if there is a way I'll find it!