to change the caption color and icon spacing, you will need a custom theme, you can either find one, or modify a pre-existing theme to your liking
To make/modify a skin:
http://classicshell.net/tutorials/skintutorial.htmlas far as the underlines, i'm guessing the under-lines correspond to the hotkey? If you want a specific hotkey for an item you can include an & just before that letter, but you can only add the underline to a single letter per item. (you can also edit the font in the .skin file to a custom font)
@IVO; maybe the scroll-over tooltip for the label field should include the fact that you can set a hotkey by including & just before the letter