Ow. My brain hurts.
Ok, rename the WSZ file to a WSZ, right-click on it, and choose "Unzip to C:\Program Files\Winamp\Skins\Phish (or whatever it's called)", open the Phish folder, and check to see if there are BMP and TXT files in there. If there's another folder inside that one, and the BMPs and TXT are in THAT folder, move them to the parent folder (C:\Program Files\Winamp\Skins\Phish).
Then, open Winamp, and choose the appropriate skin from your Skin Browser (Alt-S).
This SHOULD work, but I am not responsible for anything, should it not work, or indeed should I be horribly wrong.
live short and hack well