For each skin type, there is a separate program. For instance WindowsBlinds skins (which skin the standard Windows GUI) requires the WindowBlinds program: http://www.windowblinds.net
If you look at the top of the page of a Library cateogory, you'll find an "About" section that contains a link to the program needed for that skin type as well as a Help link for that program.
One particular program, WinStyles has the concept of themes. It will apply any number of skins in one fell swoop. The caveat is that you have to have the programs already installed. For instance a WinStyle theme may contain a WindowBlinds skin, a wallpaper, icons and Winamp skins. In this case if you have WindowBlinds, IconPackager, and Winamp installed, Winstyles applies the themes for them so you don't have to do them yourself one at a time.