The problem is that under .NET 3.5 medium trust hosting virtual path providers do not work so it cannot load the theme.skin from the /Data/Sites/[SiteID]/skins/[skinname]/ folder
This is documented in the article Understanding the theme.skin file file. The solution is to copy the theme.skin file from the skin folder into /App_Themes/default
However for new installations I highly recommend get .NET 4 hosting and use the .NET 4 package of mojoPortal. This problem about virtual path providers not working in medium trust was fixed in .NET 4.
.NET 4 has many other advantages over .NET 3.5 and we don't plan to support .NET 3.5 forever so anyone setting up a new site with mojoPortal should use .NET 4 if possible.
Hope that helps,