First, kudos for finding and using a proper forum to post to.
Lately, everyone wants to post to Support and those guys need their sleep.
Second, get used to opening zips to get to the "good stuff". As LightStar said, many skinners upload as zips to include permissions, walls, docks, etc. The .wba format is great, in that they self-install on download but afaik, it is the only skin to do so. Everything else will self install for the most part by double clicking on its file (like cursors, dreams, Icon Packages, etc.)
Third, a forum post starting with WTF is usually a precursor to a whiny complaint, not a legitimate new user question, as yours is. Stating the nature of your problem in the title will get better responses, imho. (although, as a nosy bunch, we all look anyway, lol)
Fourth.
downloaded a blind from DA
Don't ever do that!
Lastly, Welcome to WinCustomize, jhoward7414. Have fun, hang out, download 'til your fingers bleed and if you have any more questions, fire away. There is always someone around to help out.