A WinXP skin is not a winstyles skin. You need WindowBlinds to install the skin. You can download the shareware version of WindowBlinds at http://www.windowblinds.net.
Once you have WindowBlinds installed, got to your Window Display dialog and (depending on which version of Windows you're running) go to the Skins tab are the Appearance tab. From there you can install and apply the skin.
FYI: WinStyles is an application which multiple application themes can be packed into one file and applied all at once. Say you have a WinXP skin, a WinAmp skin, and a wallpaper that you always use together. WinStyles allows you to save these skins in one file and then apply them to your desktop all at once (so you don't have to manually switch the desktop wallper, then switch the winamp skin, and then switch the WinXP(WindowsBlinds) skin.
Hope this helps.