The grey boxes appear when files are missing. This most likely means you have somehow installed the skin in a wrong way (haven't extracted all the files in their designated places for example).
Make sure all the files from the skin you're trying to use are extracted as the skin author has instructed. Generally you have to extract the files in
- XP: <drive>:\\Documents and Settings\<username>\My Documents\The Lord of the Rings Online\UI\Skins\
- Vista/7: <drive>:\\Users\<username>\Documents\The Lord of the Rings Online\UI\Skins\
Some skins might also be outdated and not work any longer. Which skins are you trying to use ?