Zandronum

Somehow, I have no skins folder.
Can I create one, or do I have to get one?
HELPFUL EDIT: I'm on Vista, and I've checked my Appdata for any files, but no luck.

You can just create one in your Zandronum folder. Then throw some skin wads there. It's simple.
You can also create one called "Announcers" and it will work the same, but was originally designed for custom announcer packs.