Download a skin. Like from www.rtcwfiles.com. Mostly you will have a zip file containing the skin. So open it and extract the pk3 file to the main folder.
Single player skins work always. (Unless you did somethin wrong ;)) Multiplayer skins only work of you are hosting the server, the server you are playing on has the skin installed or it is an unpure server. The last one can be found with 3th party browsers like The all seeing eye. But there are not many.