First, you have to download the template skin from here: Skinner atlas
That file will be saved into your skins folder which is in your winamp folder. The winamp folder is usually located in C:\program files\winamp
Then you should open the skinner atlas wsz file using winzip or something simmilar and extract the files there to a new directory in yor skins folder. That way you won't have to keep opening winzip every time you change something.
Once thats done, you should go into whatever painting program you like and start painting. There are many different ways to go about creating the skin. Here's what I do. . .
Some people reccomend making a sketch of the skin first but i don't like to do that. I find it difficult to get it to look right that way. (Again, thats just me. making a sketch might work for you). At the very least, you have to have a mental picture of what you want the skin to look like. You should start with the file main.bmp and paint what you want the main window to look like. Keep in mind that most of the things in that file will be overwriteen by other files but its a good starting point. Once you do that, you can cut out the images and place them into the appropriate files and you'll have a working main window. yay!
The procedure for the other windows is simmilar. I reccomend reading the readme in skinner atlas. It is VERY helpful and will get you started quickly.