1) Install Messenger Plus!.
2) Double click on the skin file you've downloaded. aka: 'execute' the file. The skin will be installed automatically and will be visible immediatly.
Some skins have options. You can reach these via the menu
Plus! > Messenger Skin
or
Plus! > Preferences & Options > Appearance > Skins >
select skin > Skin options
I guess it would have been easier and straitforward if 'skins' were named 'plugins'