First of all, it's generally a good idea to read any given instruction manual
In this it is stated, that you can put the skin files (*.xmpskin) anywhere in the XMPlay directory (or a subdirectory - mine is called "skins" for simplicity). After this, you can activate the skin by
1) right-clicking the main window and selecting a skin or by
2) opening the "Options & stuff" dialog and selecting a skin from the "Plugins & Skins" tab.
If you really, really can't be bothered to read the manual, you might want to have a look at this: http://support.xmplay.com/Guide.html
It's strongly advised to read the guide or the manual (or both) to get to know every little hidden function of XMPlay (of which there are quite a few).