There's no special software to make skins. You make the graphics in a grapics program like Photoshop or Paint Shop Pro or the Gimp
Then you code the skin with an regular text editor. Besides the graphcis, a WMP skin consists of an XML file and a JScript (Javascript) file.
You can find information on WMP skinning on the Miscrosoft link below. Plus you can download the WMP SDK from the link which has examples
WMP skinning documentation:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wmplay/mmp_sdk/windowsmediaplayerskins.asp