Use WinZip to unzip the file. You can get WinZip here.
Extract the file to the directory that your themes are located in. Usually C:\Program Files\Plus!\Themes
Here's a Stabbing Westward skin that I made for Yahoo! Messenger.
Just unzip the file to the directory that your Yahoo! Messenger is in. Usually D:\Program Files\Yahoo!\Messenger\skins
Then just go to Login, click on Preferences and under Appearance You can select your theme. Select "Stabbing Westward" and it should be ready to go.
That's it. If you've got any questions or comments, e-mail me.