I believe I've solved this and I actually think I've found a bug in Windowblinds.
Since I don't have much room on my C: drive, one of the first things I did was move the library folders (public documents, my documents) from C: to D: Now, I did not use any crazy registry hacks or custom installs to move %APPDATA% or anything wild like that, just the standard Microsoft documented procedure for moving the users My Documents folder and the Public documents folder. However, I noticed that Windowblinds was still installing its skins into C:\users\public.
What I did was copy the skins into the d:\users\public, this has now cured the problem. I think WB is getting confused as to where the skins are supposed to live. I'm not keen on having to have two copies so I might just switch the public library back to its original location (not that I keep a lot in the public documents anyway).
So, so far it works, I will keep testing and report back if I find anything else.