Easy with the caps, ratko.
Well if you downloaded some clothes to replace the old ones, you have to use IMG Tool.Use it on player.img, make a back up of the original files, replace them with the downloaded ones, rebuild archive and play.
As for a total skin [such as a Niko Bellic skin] things are tougher.You did check any Read Me from the downloaded file did you?
You pretty much replace it in player.img too.But, just as Dromeo's question, which file you downloaded?