Hi Fabien,
The points to check can be :
1. You made an entry for ur skin in
spro->Customer Relationship Management->UI Framework->UI Framework Definition->Skins and Icons->Define Skins->New Entries->
2. Assigned skin to technical profile.
spro->Customer Relationship Management->UI Framework->Technical Role Definition->Define Technical Profile->Double click on your technical profile-> specify your skin name in Skin name field.
3. Assigned correct technical profile to business role.
se80->Customer Relationship Management->UI Framework->Business Roles->Define Business Role->Double click on your business role and assign the technical profile created in Technical profile field
4. SPERS_OBJ table with PERS_KEY = CRM_THTMLB_PERS_SKIN and OBJECT_ID = your user id should have FIELDVALUE = empty.
Thanks,
Ritu