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They never did - you got it if you bought a Zune.

There were additional (nicer than Luna) official themes with XP Tablet Edition, and XP Embedded as well.

You could also download it for free from microsoft.com. It's still there: http://download.microsoft.com/download/e/a/9/ea9af5ae-b48e-4...

There was XP Media Centre Edition which had it as default theme