Then, create a folder under your skins folder under WinAmp directory.
Usually, this would be C:\Program Files\WinAmp\Skins\
Preferably, you can put the name of the skin as the name of the folder.

Unzip your zipped downloaded skin to the folder you just created. I recommend WinZip for this stuff.

Then, lauch WinAmp. Right-click on the title bar, go to options, then click on Skins Browser.
[Click here for a demonstration picture]

Now, you will be able to see the list of skins. You can select one. Also, you can click on "Select random skin on play" if you want the skins to change after every song.
[Click here for a demonstration picture]

Now, you will be able to see a beautiful new interface.

Enjoy!

P.S. I hope you don't j*ck-off with the chick pictures (like J.Lopez of B.Spears) !