Start out with something small & easy ...perhaps OD+ or a similar small app that will be easy enough for you to come to grips with.
If it's WindowBlinds you wish to learn to skin, you'll need SkinStudio.
I'd suggest you purchase the full ObjectDesktop suite of apps [presuming you don't already have it] ...as this will give you access to most of the programs you'll want to use to customize your own computer, but SkinStudio also comes bundled with ObjectDesktop.
It's SkinStudio that will aid you in making skins, both for yourself, and sharing [if you wish to share your creations].
Get SkinStudio, open up a fairly simple WB with it ...and [after a while fiddling & tinkering] you'll see how it's all put together. From there on, you'll have a [basic] idea how to make your own.
You'll need a graphics program as well, obviously.
Good luck with it, and I hope to see some skins from you sometime in the future.
Check out the software here