Hi,
When a site is created the skins are copied from /Data/skins to /Data/Sites/[SiteID]/skins
Typically SiteID will be 1 for the first site.
The skins available to the site are located at /Data/Sites/[SiteID]/skins
The skin files being used are located at /Data/Sites/[SiteID]/[skinname]
where skinname is the name as it appears in Site Settings
These files at /Data/Sites/[SiteID]/skins are not members of any VS projects so VS isn't going to find them.
To remove the link to the designer just open the layout.master file for the skin you are actually using and look for it there.
See the skinning documentation for more details.
Hope it helps,
Joe