If you press Up and Down do you hear it clicking? If so, the program is running fine but just can't find your skins. If not, then you've got a problem booting the program in the first place.
How new is your R4? Have you been keeping the firmware up to date? There's a very small chance that you've got an old firmware that doesn't have automatic DLDI patching, so the program can't read your filesystem to find the skins.
Just to clarify, the following file should exist:
X:\lmp-ng\skins\default.zip
That's an example, with X:\ being the letter of your card and default.zip being the original iPod skin.