Lots of Windows 7 users are facing this weird issue. If you switch between Windows Aero and Windows Basic themes several times, one point comes when you might not be able to switch to Windows Aero theme permanently. No "Please Wait" box is displayed and your display remains in Windows Basic theme.
Microsoft has confirmed this issue and provided a workaround to this problem. A proper hotfix will be released once the root cause of the problem is investigated.
Consider the scenario where you decide to change personalization settings for your display in Windows 7 and you do so several times between the Windows 7 Basic and Windows 7 Aero themes. After several iterations between those two themes, your display may no longer change and the "Please Wait" dialog box will no longer be displayed while a change is processing. Your display personalization will remain in the Basic theme.
The root cause of this issue is under investigation.
You can workaround this issue by selecting the Windows Classic or any of the High Contrast themes, then waiting for the "Please Wait" dialog box and processing to finish, and then select the Aero theme of your preference.