New project and skin
All skins must have a project file as it sets all the directorys up for transfer to XBMC. If you click the New skin project button then it will open a file dialog. Find a good place to create your skin project directory type a name in and hit the Save button and all of your directorys and files are setup.
After creating or loading your project you need to create a new skin file. Choose Pal or Ntsc then the ratio of the skin (4:3 or 16x9[Widescreen]) then click the New skin button. Choose a name for your skin and click the save button and the skin window should open.