After downloading a skin you double-click the .osk file in order to open it, osu! will launch automatically and the skin will be imported to the game.
alternatively, if you have downloaded a folder, you can open de osu! file and drag the skin into the skin folder, after that, just restart de game and the skin will probably be imported.
here are some good sites to download skins:
https://osuskins.nethttps://skins.osuck.net
https://www.osuskins.me