Skins and themes are not the same.
The themes as shown in your screenshot are part of Live Messenger itself. They just change the small upper part of your contacts list, and your contacts will see your theme when they talk to you.
The skins as on
http://www.msgpluslive.net/skins/ are a Messenger Plus! feature and they can completely change the appearance of your Live Messenger windows.
Right now there are no Plus! skins available for Live Messenger 2011 yet. The skins you find on
http://www.msgpluslive.net/skins/ are designed for Live Messenger 2009, or in some cases older versions. However, several people are working on skins for Live Messenger 2011 at the moment. They should appear on the site in the near future.
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