firstly, did u compile mplayer from source? if so, u had to enable gui during configure. if u did do that, then.....
all skins should b in /usr/local/share/mplayer/Skin. y don't u try opening up mplayer than browsing for a skin then. or, in your home directory, u should have a .mplayer directory. there should b a gui.conf file there where u can specify which skin to use. c if either of those work.