Skins are (to be) placed in the "Skins" sub-directory of BSPlayer.
BSPlayer should start with a selected skin by double clicking on that skin. Perhaps (I didn't try) it does not work if skin is for the previous (pre 1.0) version of BSPlayer.
However, you can also change skin by rightclicking on BSPlayer's control panel and then choose "options"/"skins". Then also "oldstyle" skins should work (at least if you have the "oldskin.dll" in the "plugins" subdirectory of BSPlayer and provided you did not select the "Disable plugins"-option under "Options"/"Preferences"/"Plugins"