How do I install skins?

[cheron]

I have been using Winamp for a long time, and every other time the skin I downloaded went right into winamp and changed it. But now, every time I try to download one, it asks if I want to save or open the file, so I save it to the skins directory on my computer. (It shows up as a .wal file after downloading.) But when the download finishes, it doesn't show up in Winamp. I tried looking under the Skins browser within Winamp, and the one I just downloaded isn't in the list.