There would be a lot more to be discussed than could be answered in a single forum reply.  Here is a link to the Skinning documentation.  It is still mostly relevant.  Right now, it is missing the DNN Menu, DNN version 5 packaging, DNN 5 objects, and a few skin tokens and token attributes.

http://www.dotnetnuke.com/LinkClick.aspx?fileticket=2ptHepzmuFA%3d&tabid=478&mid=857

That being said, since you're trying to use the DNN Menu, I would tell you that there are indeed resources to show you how to use it and skin it.  But they are dispersed over various blog posts and forum replies.  A few searches to specific problems should turn up what you want:

http://www.google.com/search?q=dnn+menu+site%3Adotnetnuke.com

If you're looking for something better documented, I would unfortunately have to turn you to the 3rd party developer market.  There are many 3rd party menu systems that you can buy and use.  Most of them are better than the DNN Menu itself.  And some are free.  

Make sure that your files are at the right level in the directory structure.  I've had a problem in the past where I put the files one level lower than they should have been.  Compare with a skin that works.

Also, you didn't say how you installed the files.  Were there any error messages?