The most likely problem is that you have imported it incorrectly some how. Follow these steps and you should be OK:
1. Import your skin as a .blp file into your map
2. Save your map straight away
3. Open up the MDX of the unit you want to use the skin with in WC3Viewer
4. Goto 'Current File' ---> 'Used Texture Names' on the top toolbar
5. Look for the one which is longest, probably something like unit/units/footman
6. Copy this path
7. In the World Editor Import Manager, double click your skin to bring up its properties
8. Check the box saying 'Custom Path'
9. Paste the path from WC3Viewer into the box to replace the wc3imported/etc
10. Save your map again
11. Close the world editor down
12. Open the world editor up again and your skin should work!
You can find a good tutorial explaining custom skins here:
http://hiveworkshop.com/forums/showthread.php?t=7061