When prompted, choose "Save this file to disk", then in the "Save As" window, point the download to your WinAmp Skins directory.

For exampe - C:\Program Files\WinAmp\Skins)

Save the entire zip file in that directory - don't unzip it (WinAmp reads the .zip file 'as-is').  You can then choose the MidaSkin from your WinAmp menu!

That's it - enjoy!