This is a common problem when running under medium trust hosting with .NET 3.5
http://www.mojoportal.com/mediumtrust.aspx
you will need to copy the theme.skin file from your skin into the App_Themes/default folder to get it to work. This will break the non 3.0 artisteer skins so you will only be able to use skins that use the same theme.skin file, ie you can use multiple skins but they need to be of the same artisteer version so that they have the same settings in theme.skin.
It is not a problem under .NET 4, so the ideal solution is to get .NET 4 hosting.
Hope it helps,
Joe