You meant to say .wsz and not .sz - right? Okay... just for you I went and downloaded the Mozart -fx05-
classic skin from winamp.com. I am assuming
that is the skin you downloaded, and that is where you downloaded it from. Right? You never said. Anyway, it's working perfectly for me, same as any "older" classic skin not updated for Winamp 5 would (no skinning of the Media Library, JTFE or Preferences in such an old skin).
Skins downloaded from Winamp.com are of 2 types - Classic (files with a .wsz extension), and Modern (files with a .wal extension). They are both compressed formats but are not to be unarchived (unzipped), and there is no "installation" required. Just download a skin and place it directly within your \Winamp\Skins folder on your hard drive. Next time you start Winamp, that/those skins will be selectable.
Now, if you are still having a problem, first CLOSE Winamp, then download the skin directly to your \Winamp\Skins folder. Then reopen Winamp, and the skin will be selectable.
I also suggest that you install DrO's Skins In Submenu
plugin, to separate the Classic from the Modern skins in submenus.