There are several programs you can use to design or edit graphics. For instance;
LogonStudio lets you create Logons, but you need a paint program (eg. PhotoShop, CorelDraw, PaintShopPro) to create and edit images.
SkinStudio Lets you create and edit Window Blinds, but again you also need a paint program to create and edit images
WallPapers Can be made with numerous paint or 3D vector programs.
Winamp Skins are also made with paint programs
Im not too familiar with Icons or Cursors, but I know there are some programs available for them.
I guess you have to first decide what you want to start with and experiment.
There are also many websites that offers tutorials for each program, and that can help you get started.
Good luck on your proyects.
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