Ok, I solved the issue. If someone else has the same problem, use this control. It's free under MIT license. Screenshot by the author:
Note that the author made two controls. My advice: the second one has incorrect support for cleartype (It rotates after subpixel rendering), but it's easier to use, and has better padding control. Go for it! =)
EDIT
If you use C++ and need it for that, there's an approach. Picture of the result:
The author was very descriptive on how he did it, which is good, example:
This is the link to the article.
Another very good approach is SkyBound's multi-purpose VisualStyles component. Seems that the binaries are free but the source is not, very fair deal. I'll check it out later, but if you need some visualstyles bug fixing, it seems like a choice.
from the authors:
first and foremost, it quashes XP
theme bugs, silently, efficiently and
automatically. But it also provides a
simple set of classes which you can
use to draw your own controls using
the Windows XP Theme API.
Check this. and more from the author.
Problem solved!! =D