First make sure that you have the latest verison of messenger plus from
here as skinning is only compatibly with version 4.50.
After this, when you've downloaded the skin, double click on the file and it will prompt you to install it
Once this is done the skin will be enabled after you restart messenger. Some skins have extra options, to access these click the Messenger Plus logo button, then "Messenger Skin" and "Skin Options"