I'm assuming you are talking about WindowBlinds skins? If so, then here's the deal........
When a skinner makes a WB skin, he has an option of including a skin within the .WBA file. Not many skinners actually do this. When a skinner makes a screenshot of his skin, he wants it to look it's best, and the screenshot may include a wallpaper that he didn't make himself, therefore he can't include it in the upload.
Also, check within your WB configuration window that you have it set to apply any included wallpapers.
I hope this clears it up for you. 