There could be a couple of different reasons for this. Firstly, check that the files really exist under /usr/share/xmms/Skins... I used to have a load of WinAmp skins on my Windows C drive that I symlinked over to my XMMS directory, and if I didn't mount the C partition, then XMMS would see the broken links as files and try to open them... and fail.
Also, check your personal XMMS config files in your home directory. I think it's under something like ~/.xmms/.
Hope this helps.