Yes, I tested it, both with single skins and with two skins.
The idea is that you have the directory where MXM sits, say, F:\GAMES\MXM and the skin directory is one level below, F:\GAMES\MXM\LCARS, that file hjust has the contents of the skin dumped into it, with perhaps one other directory below it, for music (F:\GAMES\MXM\MUSIC)
Don't forget the Media directory, which still needs to be there yet.
It's quite simple.
<MXM>\MXM.ini
<MXM>\MXM.xbe
<MXM>\Media\Font16.xpr
<MXM>\DefaultSkin\MXM_Skin.ini
: : : :
<MXM>\DefaultSkin\MUSIC\SomeTune.wma
and so forth...