You need to start with SkinStudio. Open it up, click file > new > blank skin, give the skin a name and there you have a luna skin to play with. Click on any part of the preview and it will show you on the right hand side what makes up that part of the skin, whether it be an image, colours or sizes. Open up one of the images in such as paintshop pro, see how its made. Make your own image, save it to the skin's folder (don't save it as Blue_something...), select the image you've made under 'Adjusted Image', choose file > windowblinds > set this skin as current - it will ask you to save, click yes, and there you will have a basic luna skin which will include the image you have created. All you have to do then is do that for all the other bitmaps...!!! Once you see how many there are, you will get an idea why skins take so long to produce. Once you have mastered a basic skin, you can start messing with different sizes of bitmap and adjusting the skin size to go with it. One step at a time is best to start though.
Oh, and don't make images on the template's bitmaps. It's much better to make your own from scratch

And like TasT says, never use anyone else's bitmaps.
There are loads of tutorials around. Grab a bite to eat, a cup of coffee, and start reading - you'll soon pick it up.