You should attach the skin.
A lot of times it is due to an alpha channel issue. By default, I think Photoshop saves TGA's under 24-bits (unless you select 32-bits). Next time, select 32-bits. Also, when you are converting BLP's, I recommend using TGA's as they tend to be the most seamless in conversion (most similar in structure).
I recommend BLP Lab for all your conversions (it can even open up PSD files, iirc):
http://www.hiveworkshop.com/forums/tools-560/blp-lab-v0-5-0-a-137599/
Try reconverting it and then importing it again. Delete the texture from your map, save, close, reopen. Import the reconverted texture, save, and hopefully it should work.
If it does not show up at all (as in, the model uses the old texture), then check to make sure you put the correct path.