As Paul explained the concept of a Master Page is very similar to a skin. In both cases it's a page that has certain static areas and certain areas that allow content to be injected. With a master page (at least in ASP.NET) you specify contentplaceholders and then build content pages to fill those spaces. With a skin you just add a server side <DIV> and it will show as a contentpane in DNN. You can drop any module into that contentpane.
If your current site consists of aspx Master and content pages you can fairly easily convert that over to a skin. Wherever there is a contentplaceholder in the Master page you change it to a server side <DIV> and drop a Text/HTML module in it. You can then put the content of your content aspx page into the Text/HTML module and it should pretty much work. There will, of course, be some tuning.
If your host supports ASP.NET 2.0 or better and SQL Server you should be OK. You just upload the DNN platform and update the web.config file to point at the SQL Server. You can then install your content, skins, third party modules and anything else. DNN will build out your database tables, indices, constraints, etc.
DNN comes with a lot of free modules. Many times they will be enough for what you need. If they are not you can find tons of third party stuff at: www.snowcovered.com.
BTW - I've had pretty good luck mixing standard HTML or ASP pages within a DNN site. They're just redirects like anything else. I don't know about being able to pass the authentication through in a single sign-on sort of deal. I also don't think you'll be able to use the authentication built into DNN to determine who can access a non-DNN page. You may be able to secure those pages in the web.config file as I believe DNN uses the standard ASP.NET Membership and role providers.
Good luck,
BK