Don't feel stupid at all. Turbine does it in a different manner than most others.
thread (which is a copy of a thread on Turbine's Beta UI forums):
The Directory Structure
All of the UI skins created by users must lie in an expected location. We have defined this location as the "<documents>\ui\skins" directory. Each user defined skins should be placed in a separate subdirectory under our pre-defined location, so you may have something like:
Inside each user defined skin directory a skin definition file is expected. This XML file is named "SkinDefinition.xml" for every skin (discussed below.)
The remaining files in this directory are the media files. The media files are generally TGAs (RGB + alpha).
Note: the "<documents>" directory is where you can find the UserPreferences.ini file. It is usually something like
"C:\Documents and Settings\username\My Documents\The Lord of the Rings Online"
So for example, for me it would be:
C:\Documents and Settings\cairenn\My Documents\The Lord of the Rings Online\ui\skins\<new mod folder>\<new mod files>
Please note that the "\ui\skins" don't already exist, so you'll need to create those. Then drop the new folder in there.
Also - if you're like me, you were going crazy trying to figure out where your screenshots were saved ... same folder ""C:\Documents and Settings\username\My Documents\The Lord of the Rings Online""