It is possible that a user uploads their WB skin inside a .zip file too. If your download is a .zip file, first open the .zip file by double clicking on it. If it contains a bunch of files, .bmp and .tga images, then you just close that window and follow the instructions in Reply #1. If you find a .wba file and possibly some wallpapers or other files inside the .zip, then you need to copy those to somewhere else of your hard drive and then double click on the .wba to install it. If there are also wallpaper or other files, what you do with those is up to you.
Just using Firefox does not guarantee that you won't get a .zip download if the author uploaded it as a .zip in the first place for other reasons.