Really stupid question about WMP skins

Hi - I'm new here as a member, but I love downloading the WMP skins. I know what I'm going to ask is really really really stupid, but please be patient.

Most of the files for the various WMP skins I see are .wmz. However, some are .zip. It finally dawned on me that I need to change the extension from .zip to .wmz. Voila! All of a sudden I can now see the skin in "Skin Chooser" mode.

However, when I hit the "Apply Skin" option, it doesn't apply. So what am I doing wrong? There are a lot of really great skins in .zip format that I'd love to be able to use.

Thanks in advance!