The VB interface you've shown is actually reasonably acceptable for a first stab at this. Some thoughts:
1) Since there are like 50 different types of skills, having only a dropdown list for the combo box to select skills from may get a little tedious (though I suppose with only 8 different types skills to set, it may be tolerable). If possible I'd like the ability to actually type with keyboard the skill name into the combo box, and have it autocomplete once you've typed enough letters. Keep the dropdown though for the case when I totally forget the name of a skill I want, or if I want to actually browse through the list to find something that might interest me.
2) Not a high priority, but I think I might like the idea of being able to re-order a skillset without actually changing the type and number of skills (eg. swap the ordering of "basher 5" and "swimmer 6" so that in the game, the swimmer icon is shown left of the basher). There are a number of ways this can be implemented, with drag and drop being the most natural (if your UI framework supports that).
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A completely different UI would be to follow the "Practice Mode Skills Selection" screen in the actual game, but with full drag-and-drop capability. So you'll have a 10x5 grid of skill icons at the top, and below that you have a row of 8 slots resembling the skill toolbar in the game, with an edit box for number of skills at the bottom of each slot. You drag from the 10x5 grid onto a slot in the skill toolbar to add a type of skill, use the edit box and keyboard to enter the number, and maybe have a garbage bin as a drop target for deleting a type of skill from the toolbar. Rearranging skills within the toolbar would be just another drag-and-drop.
I can totally understand why you may be opposed to this idea though, since it likely takes more coding to implement and probably a little more testing effort as well. It also takes up more screen real estate, although that may be acceptable if it's a modal dialog box that must be brought up and dismissed.
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Yet another possibility would be sort of a hybrid: same basic interface as your VB program, but instead of a drop-down list, the chevron button, when clicked, actually pops up a floating pane showing the 10x5 grid of skill icons. You then click on the one you want, the pane goes away, and the combo box now shows the name of the skill you've just selected. You might want to change the graphic of the chevron button to something else to indicate that it's not a normal dropdown.
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[edit: one more idea]
[edit2: idea withdrawn]