Hi, thanks for your interest.
The main window skin file (Window.png) can just replace the existing file of the same name, located in the img\system folder. I always recommend making a copy of the original file before replacing it, just in case.
The other files such as OTB UI Border.png are custom elements that generally require plugins, such as the Battle Core and OTB Battle systems offered by Visustella. You would generally add these files to the img\pictures folder (or wherever the plugin instructs you to do so) and then set up the plugin parameters to use these assets.