Essentially, you just need to find the folder containing the bitmap (.bmp) files for the original skin, back it up, and replace that folder/files with the new skin:
1. Find the "Resources" folder in your Z3TA+ folder (usually at C:\Program Files\Cakewalk\z3ta+ on WinXP); this contains the default Z3TA+ skin.
2. Rename this folder "Resources_backup" or something similar so that you can restore the original skin at a later time.
3. Create a new folder in the same directory and name it "Resources".
4. Place the .bmp files for the skin that you want to use in the newly created "Resources" folder OR if the skin files are already in a folder, make sure the folder is named "Resources" and copy that folder to the Z3TA+ directory that you located in step #1.