It is most probably that the skins you used arent compatible with the final version of Windows Live Messenger "2009" as freunddersonne has pointed out. For those which are compatible with Windows Live Messenger, there will be written "Compatibility: 2009 (9.0)" in the little description of the skin.
There are currently only seventeen skins that are compatible with Windows Live Messenger "2009". All the skins in this page are compatible with your version. The first seven skins in this are compatible as well.
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