the ones on nds themes don't work on my ds. they get downloaded as .nds files and when you try to run them they hang.
you can change the skin but it takes a bit of work. you can load a total of 4 skins. two should be there by default. to make new skins make two new folders (skin3 and skin4) in the system folder. then copy the first skin into the folders and just replace whatever item you wish to change (the back ground or icon or everything) with another picture of the same size. it's pretty easy to do in photoshop.
I think what you are talking about is skins for the main menu, he probably means for the inbuilt media player... the inbuilt mediaplayer is based off moonshell, but it has no folders so I dunno how you get in there and skin it,
me I just use Moonshell, works better faster and is skinnable, plus it plays the newer DPG videos^^