How do you install a winamp skin?

Almost all skins for Winamp nowadays come in one of 2 specific formats (Both are just renamed zip files though).
You get .wsz files which have been around since WA2, and these will work on both that version, and currentl 3/5 versions.
.wal files are the same, but are WA 3/5 specific. (Can't use these on older Pre WA3 vesions)

To install them, just click on them, and WInamp will autoapply the skin.

If the skin comes in a zip file, you can simply unzip it into a folder in Winamps skins folder.

most winamp skins execute upon download completion. If the skin doesn't activate, then it isn't support by your current version of Winamp. In which case, you should Download the latest winamp version 5.0. Winamp 5.0 adds support for all versions of skins and plug-ins.