The Problem:
Auto-installing Skin/Theme files are downloaded as zip files.

The Cause:
SP2 appears to be common factor here, but some people report no change after SP2.
I have a theory that the default XP zip file management, is the thing that gets wonked.

The Solution:
Step 1. File extension must not be hidden. If you're unsure what that means, open Control Panel > Folder Options > View tab > "Hide extensions for known file types" should be un-checked.

Step 2. Right-click the file and select Rename. Change the zip part of the name to the proper extension. Example skin1.zip = skin1.wba (for a WindowBlind skin)
If you get a warning about changing the extention, click OK

Step 3. Double-click the renamed file.

From what others have said, after a while, Windows will stop renaming the files when you download them.

Below is a list of the most common formats we hear complaints about....... if anyone wants to add to the list, feel free.

Be aware that skins, and themes are sometimes uploaded in the zip format for various reasons...... always check the zip, before you rename.   

DesktopX Themes = .dxtheme
DesktopX Objects = .dxpack
WindowBlinds = .wba
LogonStudio = .logonxp
BootSkin = .bootskin
CursorXP = .CurXPTheme
IconPackager = .ip

I've tried to make this as easy to understand as possible.....  I hope I've accomplished my mission.