You just need to download the .zip file, then copy/paste it into the "Programs/Winamp/Skins/" folder on your computer. After that, you should be able to select it in Winamp's option menu.
My next recommendation would be to either use the .zip file as-is, or change the file extension to .wzs (Winamp's own custom file extension). If either of those methods don't work, I may have to do more research.
No problem. Though if you went the file extension-changing route, I think I made a typo earlier. The extension should actually be .wsz. (short for Winamp Skin Zip)
1) Did you download the .zip file (upper right corner), or the sample image?
2) If you downloaded the .zip file, did you unzip it?