i checked it out, had the same problem on a win98 machine, was only 'slightly' present on the winxp box.. both were using ati cards, the win98 machine was using a 9600 pro, the winxp box using an x800. both boxes were using current dx and had updated video drivers, but, the drivers for xp are a bit newer than the ones ati has released for xp. under xp, there are some slight bugs, (things like the 'EQ' button not displaying the text next to the buttons, (the icons show correctly), but the border at the top and bottom of the pull down menu still shows the framing as if there were words to display. the gold frame that would normally be present if you were using the standard letterboxing was still present, even if you weren't using the letterbox. all cited bugs are on the winxp box, on the 98 box, with the huge letterboxing and the whole crashing after a few seconds thing, i didn't really get much time to test anything
edit:
as for the install notes, there didn't seem to be any difference in performance, on either box, as to whether you simply unzipped the files included in the skin into their own directory, (fenix, in this case, as packaged with the file on this site), or did as the directions asked and copied the 'default' skin into a folder and then overwrote the fenix files over them, (as instructed, copying each group of files individually, not copying already existing folders). this being the case, i would suggest simply skipping that step