As a quick example, the game manager Steam uses custom windows that look different from the default provided by the operating system. An example of this in a random Steam al
wxPython uses the native widgets of the OS it's running on in most cases. Thus, it really doesn't support theming. You can do the hack that "halex" mentioned and you may be able to do it by using a transparent frame and some fancy drawing or custom widgets. Otherwise, you might want to look at a different toolkit.
Here is a good tutorial that shows you how to make a window in your own custom design.