Really you should just search for the information because there are many threads about skinning
Well first you would need a program called Resource Hacker. This will enable you to modify your MSN. Then read a tutorial. The best one i have seen was this one at
Xzaust.com From there on everything will be pretty much simple. You can also download Resource hacker from the there.
If you do choose to start skinning then always remember to make a backup of your work so that if you make a mistake you can always go back. And if you really screw up (which is highly unlikely) then you ca always just reinstall MSN and everything will be exactly the same. Good luck.