Dan -- I'll share with you what worked for me. First and absolutely critical for me was watching Nina Meier's video on this topic. In the video I identified several missteps I know I would have taken -- had I not watched her video first. She seems to know the mistakes that newbies are most likely to make, and she identifies these in the video. The video is here and I took notes while watching it twice: (register at her skincovered.com site first to acquire a user login, then the downloadable will appear on this page)
http://www.skincovered.com/Default.aspx?tabid=53
I haven't tried uploading a skin "ftp" style using WebExplorer Lite, but all the free skins I have tried previously worked on the GoDaddy auto install of DNN, using the DNN method for uploading a skin.
Just last night I purchased a skin for my site, after having the author/creator of the skin test it himself on DNN 4.x . So it will be interesting to see if I run into any frustrations with a paid skin after having early successes with the free skins. One other thing: Having read a few hundred forums posts everywhere on GoDaddy and DNN, I have come to the conclusion that for some reason GD's use/install of DNN is spotty. I saw plenty of sharp people who had obviously followed proper steps for all sorts of objectives, yet couldn't get things to work, while other complete n00bs like myself had success.