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Winamp skin files usually have one of two possible file extensions: .zip and .wsz

The easiest way is (if the file name endis in a .zip) rename it to .wsz

Then double-click the file. It'll automatically install.

If you rather manually install, then copy the .zip or .wsz file to the winamp's skins directory. For instance:
c:\program files]winamp\skins

When Winamp is running, you can change the skin by right-clicking anyhere on the Winamp window and either select Skins from the context menu toh change or Preferences to display Winamp's config window.