Why do girls always by stereo equipment that looks nice with the decor but is actually a heap of shit that, if not fucked on buying, will break within a year of moderate use?
In answer to your question Laila - send it back, get a better one, spend some money on a new one or by one second hand. That is a piece of shit.
On a less invective-spattered note, if your connections to speakers are all fine- and again, don't buy cheap cables, not really worth it; I've got the most expensive cables I could find, and the difference is astonishing - and you have got a slip-matt [Ha. Happy Hardcore anyone?] - that is, a little bit of rubber or fabric which sits on the turntable (the bit where you put the records) and everything else is as it should be, then:
1. It could be the weighting on the arm that's causing the skipping - try taping a small coin to the top of the needle - I use 2pence peices, but I'm sure a 'dime' or a 'quarter' or whatever will do.
2. Obvious answer, but still - try wiping the needle with a (dry) clothes or your finger.
3. Check where the arm is relative to the record - the best way to do this is to compare it with another record player. A lot of record players (but not all, especially cheap ones) you can adjust the alignment of the arm so that it runs perpendicular to the groove of the record. Idealy, the arm, when resting, should run parallel to the straight edge to its right. That is, looking from above, imagining it to be 2-dminensional, you have a box, and the arm should run parallel with the right edge of that box. This is not something you would immediately notice, but will cause skipping otherwise.
4. Check that the needle is connected to the tone-arm - occasionally, and probably in transit in your case, the needle will come away slightly from the cartridge (which is the bit that send the sound along the arm to the speakers) which will mean that sound is coming out but not properly, and usually muffled. It sounds like this is the case with yours. If the needle is detachable (and you really have bought the worlds biggest heap of shit if its not), then gently pull at the edges of it (not the needle itself, the red casing to which which the needle is attached) and gently push it back on until it 'clicks' back in place. I must emphasise, do this
gently because you don't want to fuck up the needle/ arm/ cartridge. I remember seriously boning a record player once with my brutish, teenage hands, a mistake you make once in your life.
Apologies if my opening statement seems like I'm slagging you off, I don't mean it as such, but you have bought a piece of shit, and I would, before anything else, recommend getting something that is not a piece of shit.