Some skins come as a ZIP file that contains in it several variations of the skin. In this case the file should open automatically in Windows XP and later.Most skins come as a DSPACKAGE file. and usually it should automatically open the file in Desktop Sidebar. However, it could be that the file associations for Desktop Sidebar have not been set up correctly in your computer. In this case you may simply choose Desktop Sidebar in the list of programs, and if it's not in there click Browse and find the executable in c:\Program Files\Desktop sidebar\dsidebar.exe. A *.dspackage file is a zip file with a *.dspackage extension. By changing its extension to dspackage you cause Desktop Sidebar to deal the file when you open it, and that way, Desktop Sidebar can automatically install things such as skins, panels etc. to your computer. You might need to enable the setting to show the extension of known file types.
Open Windows Explorer. Go to Tools > Folder Options. Select the View Tab. UNCHECK the option for "hide extension for known file types". Hit Apply, Ok. Voila.