Set the path for the model.
For example, you have a skin for a grunt... follow these steps.
1.Import the Skin
2.Open the Object/Unit Editor
3.Click on the Grunt, then scroll down until you see Model File
4.Left click on 2 times and it will open a window. In the Custom Path you can see units\orc\Grunt\Grunt. Copy it (Select all the path and use Ctrl + C).
5.Open the Import Manager. Left click on the imported skin 2 times, and it will open a window. Enable Custom Path.
6.Now paste the "units\orc\Grunt\Grunt", (Ctrl + V) and type .blp at the end.
Example: units\orc\Grunt\Grunt.blp
NOTE: This step is extremly important, if you don't add the .blp to the imported skin IT WON'T WORK!
7. Click OK, close the editor and open your map again. The skin should be working now. If it isn't check this steps again, and see if you have done everything right.