If your /data folder is empty, you didn't install mojo right.
Mojo ships with a bunch of folders under /data - if they aren't there, you should copy them in from the deployment package because there was probably a file transfer error when you tried to do it the first time.
As for skinning, once your data folder is properly populated and you've created a site, the skin files to edit will be under /data/sites/[site number]/skins/[skin name]
Site numbers start at 1 and increment downward. In the /data/sites/1/skins/ folder there should be a bunch of skins that ship with mojo.
Hope this helps,