What's going on now is basically a shift to a new generation of controls; similar to the switch from Win3 to Win95 widgets, there's now a shift from Win95 to WinXP widgets (the important shift being that WinXP controls are skinnable with "styles", as well as having some more advanced characteristics relating to ComCtl6 and GDI+).
Microsoft specifically designed it so that you have to enable the WinXP widgets on your app, for compatibility reasons. It's a very smart move on their part. For information on how to use the WinXP-style widgets, try this MSDN article:
In the meantime, a few apps in Windows XP will have minor inconsistencies, like the scrollbar thing you mentioned (probably a result of the IE preview pane being an XP-native control while the rest of the app is written for previous versions of Windows).
About the Office XP and Visual Studio .NET UI: Microsoft has always used Office as a harbringer of new widgets and whatnot, so they've always seemed to use custom widget sets (it supported moveable toolbars and whatnot long before it was a standard widget). Unfortunately, this backfired on them for this release; Windows XP was originally supposed to use the Luna skin (the current skin) for the Home edition, and a "Professional" skin for the Professional edition, which would match the Office XP style (the so-called "Web Look"). However, after user testing, they decided to drop the "Professional" style from Windows XP, thus leaving Office XP and Visual Studio .NET not matching anything. (I imagine they left in the funky menus and whatnot so that people could tell the difference between Office XP and Office 2000...)
So, if you want to develop, if you use MFC, VB6, or .NET, they'll all look the same: either the traditional Win95 look, or the WinXP look if you choose to enable it. There no development tools (including Visual Studio .NET) which support writing apps in the so-called "Web style". (ie. Apps written in Visual Studio .NET don't look like Visual Studio .NET, they look like every other Windows app.)
So, if you're trying to figure out what to do with Windows widgets: if you develop the way you always have, you'll continue to make apps the way you'll always have. If you want to support the next generation widgets, follow the instructions on MSDN. And ignore the funky widget sets on Office XP and VS.NET.
It would be very simple except for the funky interfaces on Office XP and VS.NET. Oh well. ;)
The important thing, anyway, the consistency of behaviour: shortcut keys, tabbing, right-mouse button, etc. What Microsoft's doing now, resulting in the slight appearance inconsistency between Win95 and WinXP-era apps until everything gets updated for ComCtl6, is the best compromise between allowing technology advances while maintaining compatibility with older apps.