Yeah, the documentation leaves a bit to be desired here. See <a href="http://shellwm.sourceforge.net/forum.php?view.2.131">allelimo's post here</a>, and if that's not detailed enough, try to guess where the backslashes go in <a href="http://shellwm.sourceforge.net/forum.php?view.2.30">my post here</a>.

Basically, you need to create a Skins folder inside the shellwm dir, and put the skins in there.