Brian,
First, make sure the skin is in the right directory, if you have Trillian in the default location, it’s C:Program FilesTrillianskins
If you have the free version and the skin doesn’t show up in skin chooser, look for a folder named stixe. Stixe is an interface for Pro skins not supported in the free version. Stixe skins will not show up in the skin chooser of free versions.