A few things...
*Are you putting the files into the 'My Documents/Sports Interactive/Football Manager 2008/skins'?
make sure that you are not putting them into the folder in 'Program Flies/Sports Interactive/...' as they won't work in there. There should be no need o EVER add anything to the system files.
*Is the skin you've downloaded archived?
Does the skin have a .zip or .rar appended to the end of the file name? If so you need to unpack it first. I'd suggest getting hold of the free version of WinRAR as it does it all.
Once you have the unpacked 'Steklo' folder in the correct 'My Documents/.../skins' folder it should be selectable fro the menu in FM's preferences. Just make sure that 'Reload Skin on Confirm' is on and 'Use Skin Cache' is off.
Should work fine.