Download the skin by clicking on the picture of the winamp skin you desire. When the windows dialog box appears click on "Save As" and save to the directory where winamp is installed. Thus when installing to my computer it would look like this:
You do NOT need winzip to enable the skin. Once downloaded simply open up your winamp player. In the upper left corner click on the button. A drop down box will appear with a list of options. Choose "Options". Once you choose that a second dialog box will appear, choose "Skin Browser". This will then open up a box that allows you to choose the skin you just downloaded.