WMP 10 - Unable to apply new skin

When I attempt to download a new skin for Windows Media Player 10, I see a message that tells me I am downloading a zip file and asks where I would like to save it. I know that a .wmz file is actually a zip file, but in the past when I have downloaded a skin, my PC has known it is a skin and goes through the process to apply it, without asking me where I want to keep it.

I checked my file associations and found that .wmz is configured for WMP 10 and it is setup identically to another PC that allows me to apply a new skin properly. When I look at the downloaded .wmz file in Windows Explorer, it is recognized properly and I can double-click the file and WMP will open with the skin applied. However, the skin setting is not retained from one session to another.

Any help would be appreciated. If this is not posted to the correct forum, please let me know. Thanks.