Eh I'm bad at this stuff.
 

Yeah this prob. sounds really stupid but oh well. When I first tried to dl a skin, there were 3 options of how to dl it or whatever and apparently the one i chose didn't work [whatever it was]. Now, whenever I click dl for a skin, the filename of the skin replaces my entire playlist and the skin wont change. So uh. Help me :D.

Try right-clicking the download button and clicking "save target as." Save it in the "skins" folder in your "winamp" folder. Then open Winamp and try loading the skin.

what version of winamp are you using? If you are trying to download a "modern" skin, you should be using one of the latest versions (winamp 5 or later)

sometimes the classic skins download as .wal's. If that happens to you, do what Dawg said and right click and save as into C:\program files\winamp\skins or wherever your skin folders is. Then, in windows, go to view and then folder options. Uncheck "hide file types for known extensions" then the skin that you downloaded will have the .wal shown at the end. Go and change th .wal to .wsz and then put the option to hide file types back on as it can be very annoying if you forget. After that, you should be able to load the skins in winamp.