If you're trying to use the skins online, its bad news. In UT to use a custom skin, it must be enabled on the server, and all clients must have the skin to get on the server. As a result hardly any servers run custom skins. The same goes for custom voice packs.
If you're having trouble using the skins offline, I can think of 3 reasons.
a) Bad coding on the half of the maker
b) Might be based on the Xan model and you may not have completed the game.
c)You may have the skins, but not the model for the skin.