if the file is in the browser and works it should also be visible in the Video folder...that is...if you put it there and not in the music folder or any other folder

The browser is always a handy way to check if a file is on your player or not.
if you cant find MUSIC in the future try updating your music library. This will make the player scan itself for any new music files and the player will put them in the music list
As for your question about a skin. A
skin just changes the looks of your player, not the functionality. its the Mp3 player equivalent of painting your livingroom

Instead of having a blue background you can have a red one, instead of one startup screen you can have another etc.
Firmware however, can influence the functionality of the player. Firmware is the software the players uses to function. Much like Windows for a PC. Just like every version of Windows offers diffrent functionalities so does every version of the firmware.
The new firmware comming out will be 1.011. This is set to be a nice and valuable firmware update adding more functionalities to the player.