What do you mean by it shows as a document? What skin are you trying to use and where are you putting it?
If the file type of the skin you are trying to import is .osk, you can simply drag it into the osu! window, or right click on it and open it with osu!.exe.
If the file is in .zip format, assuming it was zipped correctly, you should be able to change the file extension to .osk. Or, you can extract it into your osu!\Songs folder. You can also extract .rar files, but you cannot change their file type.