Has any one ever been able to do this?

So Yahoo Messenger has 4 other skins that you can download. But when I download it, it brings up the folder, so I "extract all files" like the instuctions say to, but what else?? The instuctions just say that after I do all that, then to just go to messenger and change the skin, but its not there. When I click on the folder, it changes about 4 times until it goes to the pictures of what the skin should look like. Please help, lol.