Hmmm, not sure why you are having problems gevansmd. I run Windows 7 and here is what I do and it works everytime.
1. Click the download button on the skins download page, you should get a window that gives you options, I always select 'Save As', it goes to a download folder.
2. Once download is complete go to the folder where you saved it.
3. Right click on the file you just saved and select 'Extract To'
4. Now go to the ObjectDock Folder, find Backgrounds and select or click it as being where you want to extract the file, besure to use folder names.
That should work unless I missed something.