First you start by reading the skinning documentation, you can get that through Plus > Preferences > Customize! > Skins or by downloading it at
http://www.msgpluslive.net/skins/browse/9/Resources-for-skin-creators/
You are free to use any program you wish but for validation it's advisory to use an XML editor. The Plus! Skinning Documentation recommends
XML Spy (professional version) from Altova. A freeware alternative to that is
WMHhelp XML Pad 3.