The exe file is a self installer. The skins included in that file (AHSKINS.exe), will be installed to the " //HTC/Aces High II/skins/ " folder automatically. These skins (approved by HTC) are in .res format and can be used for online play.
After it has been installed, you can choose which skin you want by viewing them in the hangar in-game. A drop down box allows you to browse.
FYI - these are the same skins downloaded automatically in the background while online.