In theory, just replacing the 'skin/default' directory should be enough, but make sure no files are missing in the new skin (if they are, amsn would automatically take the images from the default skin). I think the easiest solution for you would be to open the aMSN.app dir, go to contents/resources, and edit the file 'config.tcl' search for :
setGlobalKey skin "default"
and replace that 'default' by the directory name of the skin you want to have as default.