well, lets start out with a question..
Which skins are you trying to download, and Do you have the appropriate application installed for that type of skin? i.e. windowblinds skins require the windowblinds application, icon themes require IconPackager, etc.
If you do have the appropriate applications then you can continue, if not you'll need to get the programs installed before you will be able to install any of the skins. Assuming you are continuing, here's how you can install a skin:
1) click the download link next to the skin you want to download
2) when asked if you want to open or save choose save
3) when prompted for a location to save to choose a folder you can find, for example I have all of my downloads under d:\downloads, that way I can find anything I download quickly.
4) once the file has finished downloading open windows explorer or My computer and browse to the folder you saved the file in.
5) if the downloaded file has a .zip extension you'll need to open it and extract the actual file that you will install. If you are using XP's zip folders to open the zip file you can just double-click the zip file, all of the files in the new window that opens up, right-click and copy. Next, use the back button or your backspace key to close the zip file, right-click in the original folder and paste. This should copy all of the files that were in the zip file into the folder that you downloaded the file from WC into.
6) double-click on the skin to install it, here are some common extensions for skins you can get from here:
WB -> .wba
IP -> .ip
Bootskin -> .bootskin
CursorXP -> .CursorXPTheme
There are other but that should cover the main ones.. Hope this helps and if you need more help just post here again and I'm sure you'll get the help you need!