When you zip up the files be sure that you aren't creating a directory inside a directory. I use a program call 7-zip which lets me zip and unzip from the context menu in Explorer. Using this, I just open my skins root directory in explorer, Select All, and zip. The resulting zip will be named for the folder the files were in, and should work in Winamp. I uploaded the working wal to my server, http://gonzotek.skinarmory.com/ovalamp.wal
is free, but you should be able to get your zip software to do the same thing, if it's even half-way decent.