Unpack downloaded archive. Open the directory
wp-content/uploads/shortcodes-ultimate-skins and copy here unpacked folder(s). Skin is a folder with files box-shortcodes.css, content-shortcodes.css etc. Each skin must be separated in their own folder.
When you're done, go to the plugin settings page.
Dashboard -> Settings -> Shortcodes Ultimate -> Settings (tab)
And then choose installed skin from dropdown list. If new skin does not appear in dropdown list, try to refresh setting page. Also, make sure you have copied skin to the right place. Resulting skin files paths must be like this one: