I just got my EDGE today, but the memory card hasn't come yet, but I think I can be of help.

http://www.edge-ds.cn/downloads/edge-manual-1.0-ENG.pdf

The above is the manual directly from the EDGE-cn website. I think if you follow that pretty closely, and then check out the setting section when you turn on your DS, you ought to be able to figure it out.

Practice with some of the entries in the skin competition.

 

In a more easier to understand sense:

If you downloaded the official firmware here, or on the EDGE site, you'll notice there is nothing in the "Edge" folder but the cheats.

To add skins, create a folder called "Skins" and then place your skins inside. They should be in this folder tree:

Root -> Edge -> Skins -> Edge Skin -> the image files inside

The skin will show up on the options menu as "Edge Skin". Hope that helps.