Do you have a "#" in the path to the Skinning Documentation?
-it might think it is an anchor and look in the wrong place for the Documentation. To fix this just move the file to the desktop or to a path on your computer that doesn't have a "#" in it.
If thats not it then your computer might have block it.
-To unblock it right click on the the Script Documentation file and click on properties > General tab(if its not already selected) and click unblock.
Those are the 2 solutions I have found. Hope they help.
[
Edit]
If those 2 solutions don't work you can use the
Online Skinning Documentation provided by
Dempsey.
(http://shoutbox.menthix.net/showthread.php?tid=79804)