You should have it unzipped. I added a new folder under Mortplayer called "skins" and assigned that as the skin directory. Inside that I have the MPS files (ex. CleanGlass.mps) and its corresponding folder (ex. cleanglass).

By the way, I updated the screenshot for the skins, so check it out (make sure you hit refresh). I'll be working on the playlist, cover screen, and alarm screen soon, then finally get to coding this thing, which probably be the hardest thing for me =)