It's not
My Documents\The Lord of the Rings Online\ui\skins
it's
Documents\The Lord of the Rings Online\ui\skins
So the entire path would be
C:\Users\USERNAMEGOESHERE\Documents\The Lord of the Rings Online\ui\skins
Or, a better idea:
Open the launcher, click the first down arrow button
click "Explore Screenshots Folder", and it will take you to The Lord fo the Rings Online folder. Just make a folder called ui there.
Didn't you notice that there WAS no "My Documents" folder? Just a "Documents" folder?