Almost all skins for Winamp nowadays come in one of 2 specific formats (Both are just renamed zip files though).
You get .wsz files which have been around since WA2, and these will work on both that version, and currentl 3/5 versions.
.wal files are the same, but are WA 3/5 specific. (Can't use these on older Pre WA3 vesions)

To install them, just click on them, and WInamp will autoapply the skin.

If the skin comes in a zip file, you can simply unzip it into a folder in Winamps skins folder.