Where to create?????

bootskin would be the easiest.

And HOWDY!

Hello

What type of programs would I need to create wallpaper, Icons, and objects????

wallpaper needs paper and glue. and a wall

icons need lots of lights and video cameras on them

objects are just any old thing lying around

You need a graphics editor such as paintshop pro(cheap) or the gimp (free)

And wallpapers are the easiest(but please practice a whhile before submitting)

Actually wallpapers are not 'skins' altho' they add a nice decoration to the desktop. Any graphic program is good to make them depending on the skill and imagination of the author.
Skining is a little more tricky and time consuming. Winamp skins will be a good place to start and get the feeling of image creation and resizing combined with a little coding.
Icons are all together very time consuming since you'll need to make a lot of them for a pack. Again, any type of graphic program can be used.

The inventor....do you think you could restrict yourself to amere dozen or so threads?

The more separate ones you post the sooner others' are bumped off the front page which isn't all that considerate....