USF is a generic skin format that can later be converted to UIS1 or UIS2.
UIS2 is the typical WindowBlinds format, which allows for all the bells and whistles.
UIS1 is a more limited WindowBlinds format, but it's more likely to play nice with older applications that don't follow the current application development standards. It's limited in the sense that left, right, and bottom window frames can only be 4px, menubars cannot be skinned, among others.
UFF is specifically for designing Windows Media Player skins. When you are done building it, or ready to test it, you simply export it to Windows Media Player format.
WindowBlinds toolbar icons and animations are often included in a UIS2 or UIS1 skins, but you can also make a skin file that only contains icons or animations. That's what these are for.