it's really no different from skinning for mohaa player skins. it's a matter of creating essentially 3 image files :
background: the main image you see
map: a color coded "map" so the engine knows what buttons are were
hover: how the buttons look when a cursor is over them
then it's a matter of coding various keys and values
basically you only need a graphics program that can save as .bmp files (paint will do) and notepad for writing the codes. i pretty much backwards engineered with a little help from some tuts. if you go into your widows media player folder then the skins folder you'll see all the files for themes end with .wmz, right click and open with notepad.
wmp skinning tut 1
wmp skinning tut 2
use both of them as a basic guide but you'll do better just trying again and again.