Let's take PcsXbox for example, go to www.allxboxskins.com and download SimplePSX (it's a skin) or whatever.
Then unzip it, make sure the folder it's unzipped to has quite a few files in it, including a font one, a couple of images, etc.
Now put that whole folder, not just the contents, the whole folder into the emuskins directory in your PcsXbox folder on your Xbox harddrive. Load up PcsXbox and select "choose a skin" or something like that, and it should be there.
BO BO BO B-BO SELECT-T-TA!