Are you downloading the skins from
http://www.msgpluslive.net/skins/? I just tested and everything seems to work.
When you click download you should get a window asking you to open or save the file. When you choose "Open" the import skin window should appear. Before you can import skins you must have the
latest version of Messenger Plus! installed.
When you click download, does nothing happen at all, or are you redirected to another page?