It is very simple. This example is assuming that you are using skins.
In the constructor of your main form calls:
DevExpress.Skins.SkinManager.EnableFormSkins();
This will enable your form to use the current skin. It is also important that each of your forms derived from XtraForm.
After that you need to setup the global look and feel object for your application:
//This set the style to use skin technology
DevExpress.LookAndFeel.UserLookAndFeel.Default.Style = DevExpress.LookAndFeel.LookAndFeelStyle.Skin;
//Here we specify the skin to use by its name
DevExpress.LookAndFeel.UserLookAndFeel.Default.SetSkinStyle("Black");
If you want to set the look and feel of your application like Office 2003, the setup is different. You just have to call the following function:
DevExpress.LookAndFeel.UserLookAndFeel.Default.SetOffice2003Style();
So, every control of devexpress will use these settings to paint themselves. It is possible to specify a custom LookAndFeel object for some controls but I never used it because I dont see the point to have a custom display for a control or a form.
Exception:
There is one exception in Devexpress framework. The NavBarControl does not use the skin technology automatically from your global LookAndFeel object, you need to specify a setting to enable that:
//To use the current skin
youNavBarControl.PaintStyleName = "SkinNavigationPane";
//To use the current look and feel without the skin
youNavBarControl.PaintStyleName = "NavigationPane";