Consider the scenario where you decide to change personalization settings for your display in Windows 7 and you do so several times between the Windows 7 Basic and Windows 7 Aero themes.
After several iterations between those two themes, your display may no longer change and the “Please Wait” dialog box will no longer be displayed while a change is processing.
Your display personalization will remain in the Basic theme.
This is yet another known issue with Windows 7 abot Microsoft is aware of it.
Till then you can try selecting the Windows Classic or any of the High Contrast themes, then waiting for the “Please Wait” dialog box and processing to finish, and then select the Aero theme of your preference.