The files are the one's you get when you donwload a walkman skin. For example I have a walkman skin called Red World.

In that folder there are files like:

BrowseView_Background.png
FF_Icon.png
Play_Icon.png
PlayNow_Background.png
PlayView_Background.png
Rewind_Icon.png
Skin.XML
Stop_Icon.png

Upload all these files into your empty directory.

Note this is a example of a 2.0 walkman skin.

Hope this helps :)