If you want to install skins, you don't need to create a zip file. First step is you need WindowBlinds (assuming you don't have it already): http://www.windowblinds.net
Once you've downloaded and installed it, you can change skins by going to your Windows Display Properties dialog and select the Skins tab. There should be some skins there you can select.
Additionally, you can download WindowBlind Skins from this site. The majority of the WindowBlinds skins here have .WBA exstension. When you download a skin, explorer asks you if you want to open or save the file. If you select open, the skin will automatically install and be available in the display properties skins tab. if you select download and save it do disk. Then doubleclick it where ever you downloaded it to. That will install the skin as well.
Finally, some WindowBlinds skins have a .ZIP extension. Download it and either rename it to a .WBA extension (WBA files are really just ZIP files only with the extension WBA) and doubleclick it or press the Add button in the Display property's Skins tab. Browse to the ZIP file and select it.