Make certain that you have followed all of these steps to enable your custom skin:
Creating a custom skin (basic steps)
The easiest way to create your own skin for RadGrid (as discussed previously in this article) is to copy one of our existing skins and modify its existing CSS settings.You can do this in five steps:
Copy one of our existing skins (CSS and images). For example the Vista skin.
Modify the corresponding css classes definitions in the CSS file.
Change the urls for the images referenced in the CSS file.
Register your CSS file in the HEAD section of your page.
Set Skin="<MyCustomSkinName>" and EnableEmbeddedSkins="false" for RadGrid.