Invalid Username / Password Redirect

I must really be missing something.

On the Login page, someone enters their username and password. If either the username and/or password is wrong, it is bringing up the non-themed wp-login.php?action=login with the error message.

Just seems like a lot of the links are pointing to the wp-login page instead of the themed pages.

The only other plugin I have installed is the Cimy User Extra Fields to make the registration form longer and the Custom Login plugin to add a custom logo on the login screen for admin.