I also have a Radeon X800XL... Window FX won't apply shadows (or any effects to explorer) and it makes the taxbar (system tray, etc) run very "sluggish". I'm using the Catalyst 5.9 drivers.
Window FX actually worked fine until i updated to WinXP Pro... kind of odd. Re-installing AND deleting WindowsFX from the registry doesn't get it working again. Maybe it's because i have a patched uxtheme.dll ?