That would have be a correct answer had this been about Moodle 2.0+ but it wasn't it was about Moodle 1.9. The actual problem was a PHP extension. You can read all about how to fix that bug in this Moodle document Themes FAQ#How can I see theme changes when using the Windows Complete Installer package
However, in Moodle 2.0+ we use Theme Designer Mode like you said, but the eaccelerator PHP extension is still a problem for some systems.
Glad it helped you