If you are hosted in .NET 3.5 medium trust it cannot load the theme.skin file from the skin folder so you have to copy it to /App_Themes/Default folder.
But that means you cannot use multiple skins that need different theme.skin settings. ie you won't be able to use both newer and older Artisteer skins since they need different settings.
I highly recommend move to .NET 4/4.5 hosting to avoid such problems.
Hope that helps,
Joe