I'm guessing you're having problems with your directory structure. Here's how it should look:
You can put the "skin2x-0.2" directory in your "Util" directory if you've created one, but really it can go anywhere. In the "skin2x-0.2" directory, there's a "skins" directory. This is where you put the unzipped skins you've downloaded. For example, in my "skins" directory, I have the directories "Candy_GP2XSKIN1" and "Liquido-ENG". Inside each of those, there are other directories... "imgbattery", "imgcommon", etc.
Hope this helps. If your problem is different from what I've guessed, you're going have to specify exactly how Skin2X doesn't work. For future reference: you can't toss out unclear questions and expect us to provide you with meaningful answers. We're ready to help new users, but give as much information as possible and you'll get the best help possible!
saehn