Open Local Disk(C: probably), Documents and Settings, then whatever User
downloaded the skins, then Application Data, then Microsoft, then Media
Player, then Skins.
Find your skin and click 'Properties'. At the bottom it says it came from
an unknown computer and has been automatically blocked. Hit the 'Unblock'
button (preferably after scanning for viruses and spybots). Hit 'Apply'.
If you don't run all the time under an Administrator user, move the
unblocked skin files to the user or All Users Application
Data/Microsoft/Media Player area.
It started working fine for me after this. :D