If you are hosted under .NET 3.5 Medium Trust, you will need to copy the theme.skin file from your skin folder into /App_Themes/default
See the notes about problems under medium trust in the article Understanding the theme.skin file.
This is the most likely cause of the problem, unless the other Artisteer skins that ship with are working, in which case it would have to something specific about your skin.
Note that this problem does not exist under .NET 4, so using .NET 4 hosting is the best solution.
Hope that helps,