посмотри правильный ли маршрут
Код:
procedure TForm1.FormCreate(Sender: TObject);
begin
sSkinManager1.Active := false;
sSkinManager1.SkinDirectory:=ExtractFilePath(Application.ExeName)+ 'Skins';
sSkinManager1.SkinName := ExtractFilePath(Application.ExeName)+ 'Skins'+ '\Desert.asz';
showmessage(sSkinManager1.SkinName)
sSkinManager1.Active := true;
end;