That link didn't take me to it either, but I finally found it..... it's C.I.A-Se ....... in the future please spell the name exactly as it appears. It makes searching for a skin much easier. 
OK... downloaded said Logon, opened the zip, and double-clicked the CIA-SE.logonxp file inside, and it loaded perfectly.
I'm going to do a little guess work here........ you're using the built in XP zip manager, right?
I haven't used that much, because I didn't like the way it works. But you probably need to extract the contents of the zip to anywhere you choose (the Desktop is fime). Then go to the extracted file(s), and double-click the logonxp file. That should work.
I have to leave for a while, but if that doesn't fix it for you, let me know, I'll check this thread when I get a chance. 