Basically, you need an image editor like Photoshop, Fireworks, Corel Draw or Painter. If you don't have the big bucks for any of those programs, PAINT.NET is a good free alternative. Your Image editing program allows you to create the graphics used in your skins.
You'll need SkinStudio to actually piece it all together and create your WindowBlind. If you're an ObjectDesktop subscriber, you can install it from Impulse. If not, you can purchase it HERE.
Something to help you along with creating graphics for screen/web/skinning would be some Photoshop tutorials. There are some good one's on the PSD TUTS website.
Other than that, at this point, just open up other skins in SkinStudio and tear them apart, trying to learn the settings. It can be tedious, but it's fun!