Theme says it's been activated but nothing changed

For example I go from the Twenty Eleven to Twenty Ten theme and get this message at the top:

“New theme activated. This theme supports widgets, please visit the widgets settings screen to configure them.”

But when I refresh my site to see if it’s changed, it’s exactly the same.

For some reason if I add or edit a post or page, the site then decides to change theme. This is happening with everything to do with Appearance, from widgets to backgrounds and headers. It doesn’t actually save it until I add/edit a post even though it says it has