Zipping doesn't work with a lot of utilities, I think that WinZip is one. Windows Commander has been reported as working. My suggestion, though, is to use an NSIS installer and install the skin as a folder instead of a .wal. Just until they get the kinks worked out with Wals. Truetype fonts have problems being in wals too, but work in folders. I can help you with the installer if you want to go that route, if you don't that's ok too.
I was away for a while.
But I'm feeling much better now.