Hi Ken,
Yes, opening /Setup/Default.aspx must be done in a browser so if your site url was www.myverycoolsite.com, you would browse to www.myverycoolsite.com/setup/default.aspx and the setup would run. Considering you didn't do this until after you noticed in System Information that the site was at version 2.4.0.0, someone else probably browsed to your site and was redirected to the setup page which then ran the necessary upgrade scripts.
Regarding the skins: they are not upgraded automatically as this would overwrite any changes you may have made to them. The skins your site actually uses are located in \Data\Sites\[sitenum]\skins. The skins which come with the release are located in \Data\skins and then are "upgraded" or new ones appended when the files from the release are uploaded. If you want to use one of the new skins (e.g., Art42), copy them from \Data\skins\ to \Data\Sites\[sitenum]\skins\.
HTH,
Joe D.