I recommend use the latest version, 2.2.7.9
After changing these, the skin are lost. Then I copied the skin folder to App_Themes\default as mentioned. E.g. App_Themes\default\cuz-mitchinson-business3
Thats not correct, you should copy the contents of the cuz-mitchinson-business3 into the default folder, not as a sub folder.
(BTW, for the step 4 above, i didn't see it tells me setting I need to add in Web.config, it just finish setup normally just like when running in full trust, is this correct?)
Those settings don't make it run in medium trust, it makes it possible to run in medium trust. To simulate medium trust on your machine, look for this in a commented section of Web.config, and uncomment it:
<trust level="Medium" originUrl=".*" />
In hosting this is set by the host in machine.config, but on your own machine you can do it in Web.config
Then visit the setup page again and it should show the needed setting for lucene search engine, which can go in user.config
Hope it helps,
Joe