I too am a Vista 64-bit user, and I have discovered that loading skins into Windows Media Player 11 (even from Microsoft's official site for skins) is problematic. Double-clicking on the downloaded skin file (ends in a .wmz extension) will bring up a dialog and let you install the skin. At that point, there are two choices: View Now or Close. If you close the dialog, nothing further happens, but if you click View Now, the skin gets loaded in WMP 11. That skin stays loaded until you switch back to full view mode.
That's when the problems begin. If you go to the skin chooser (under the View classic menu), you can select the skin you just installed, but clicking "Apply Now" does nothing. This is apparently a common problem, and has not really been adequately addressed. This might well work fine under a 32-bit OS, but on Vista x64, it doesn't seem to work well for me and many others.
One further tidbit of info: Some folks are telling you to copy your skins to C:\Program Files\Windows Media Player\Skins, but my experience (again, this is 64-bit Vista) is that copying skins to this directory doesn't make them visible in WMP 11, even after restarting the app. The directory where WMP 11 and Vista like to install skins seems to be C:\Users\UserName\AppData\Roaming\Microsoft\Media Player\Skins -- in general, in Vista it's a bad idea to copy files yourself into any subdirectories of Program Files, so you should probably take a hint from the OS and stick with the standard.
No idea if this issue will get resolved any time soon, since most people using Windows Media Player seem to be running XP or 32-bit Vista, and most of the rest of the world is using other software instead.