I guess I learned something new today ... I don't have to use InitCommonControlsEx(), I could add a manifest instead.

From msdn:
Windows XP: If a manifest is used, InitCommonControlsEx is not required

This is a manifest from a DX sample framework:

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<assembly xmlns="urn:schemas-microsoft-com:asm.v1" manifestVersion="1.0">
<assemblyIdentity
version="1.0.0.0"
processorArchitecture="X86"
name="Microsoft.DirectX SDK"
type="win32"
/>
<description>DirectX SDK Sample Program.</description>
<dependency>
<dependentAssembly>
<assemblyIdentity
type="win32"
name="Microsoft.Windows.Common-Controls"
version="6.0.0.0"
processorArchitecture="X86"
publicKeyToken="6595b64144ccf1df"
language="*"
/>
</dependentAssembly>
</dependency>
</assembly>