The documentation is quite clear on how to do it and what you need to do it with.
1. Read the documentation
2. Get yourself an XML editor (XML Spy, XML Pad etc.)
3. Experiment with the example in the documentation
4. Get yourself some Man U pictures you wish to use in the skin
5. Get creative
If you are stuck take a look at the tutorials already available on this forum and how it's done in already available skins. If that doesn't help you can post a thread asking for help on those specific things you are stuck on (don't forget to search first, many things have threads already).
Good luck!
Ohh, and the skin directory is located at C:\Program Files\Messenger Plus! Live\Skins
/ 
