This can be caused by extra 'security' apps, like SpyBot, AdAware and the like. Even some anti-virus applications can have their own 'spybot' functions, and Firewall settings. they can prevent the skin from aplying, reverting it back to 'Classic', ugh!
Check your system (SysTray) for any of these 'watcher' type programs and try to turn them off and see if that helps. Otherwise, e-mail us at support@stardock.com