What would you like to skin? WindowBlinds, ObjectDock?
Basically, you need an image editor like Photoshop, Fireworks, Corel Draw or Painter. If you don't have the big bucks for any of those programs, PAINT.NET is a good free alternative.
You'll also need to use a text editor, like notepad. I skin ObjectDock and RightClick skins solely using notepad and Photoshop.
If you wish to create a WindowBlinds skin, you'll need SkinStudio. If you're an ObjectDesktop subscriber, you can install it from Impulse. If not, you can purchase it HERE.
Something to help you along with creating graphics for screen/web/skinning would be some Photoshop tutorials. There are some good one's on the PSD TUTS website.
I highly recommend skinning. It's something fun and constructive to do as a hobby! 