A surprising number of "file formats" these days are really just zip files with a standard for the filenames and folders contained within. There's likely a ton of wonderful secrets like these to be found in the collective dataspace of humanity.
It is literally a zip file. If I remember correctly you have to write some xml which describes the layout of the skin and then include any images you need, you then zip it and change the file extension to wsz. So really you could put anything in a skin.
Winamp uses a pattern called package management for its skins. Same as chrome extensions, etc etc. Most of the time we don’t call it that because the term is more reserved for package sets which provide a wider array of functionality. The iOS app store is a package management system.
The packages, much like boxes being handled by FedEx, contain standardized elements which allow that package management system to find and install the package. Much like how when you ship a box through FedEx the first thing they do is put standardized labels on that contain all the different barcodes that different parts of their process use to route the package.
Like with Chrome extensions, there are certain files that must be there (iirc something like a manifest.json file) and others which can be anything. If you need an image for a button, that image becomes part of the package. If you need a complex set of rules then maybe there’s a little sqlite file or csv file containing all the rules. Or font files, or whatever.
Thing is, the package format is defined by the “box” as opposed to by the “contents of the box”.
Seriously though, it’s been some time be afaik any microsoft product file that ends in x, .docx, .xlsx, .pbix are all just archives and you can totally interact with them programmatically if you want. Really easy to corrupt them but hey, found it interesting years ago.
I take issue with “everything”, as most things are not. But it is a common trick when a developer wants to make a “new” file format that encapsulates a bunch of different files.