You have to create a ZIP file that maintains the proper directory structure (models\players\nameofyourskinfolder). The skin files go in a folder named after your skin (make sure it isn't a name already used by the game). Put that folder in a folder named players. Put the players folder in a folder named models. ZIP the models folder and name the ZIP file "nameofyourskin.zip". Then rename "nameofyourskin.zip" to "nameofyourskin.pk3".
If using Windows XP, you have to unhide file extensions or else it will keep the .zip extension no matter what you change the name to.