Start by downloading the default ui skin art (see news post on main page) and a nice TGA image editor (most people around here probably use Photoshop). Then go to work. Make up some fancy images. Use the alpha channel of the TGA to create transparent backgrounds (black in the alpha channel = 100% transparent).
Use the default SkinDefinition.xml file as a reference to replace the default art with yours. You might have to experiment a little to figure out which art is what in game, but most are labeled pretty obviously.
And thats the basics. Download a handful of skins from this site to use as a learning crutch and you'll be well on your way.