Hi,
Please follow the methods.
Method 1:
To install skins, you must be logged in as an administrator or a member of the Administrators group.
For more information, refer to the link.
http://windows.microsoft.com/en-US/windows-vista/Change-how-Windows-Media-Player-looks-using-skins
Method 2:
Follow the steps.
a. Copy the downloaded skins to %systemdrive%\program files\windows media player\skins
b. After copying right click on the downloaded skin and go to its properties and click on "Unblock" button.