If you only see a white box in the location of the JukeBox Player on your website, this either means you did not upload all files and folders along with your player, or the files were uploaded to the wrong location. Everything must be uploaded to the same location as the page you want the player to display on for it to work. Also make sure not to use spaces or special characters (&*'()"#?) in your file name.
If you normally upload to a folder on your server called public_html, web, www, etc. the files would go inside this folder. In the Server Profile window, you can specify the name of this folder as the Initial Host Folder field. If there are any subfolders for your jukebox, they would be named after the initial folder.
Example: All of the files for my site are stored in a folder called "public_html" on my server (index.html, about.html, etc). I want to play the jukebox on the home page, so I just specify "public_html" as the Initial Host Folder field when I upload my files. This lets Web JukeBox place all the jukebox files and folders into the "public_html" folder of my server, right next to the index.html page, which is where the code has been pasted.
You may want to use an FTP client to double-check and make sure the XML, SWF, and JukeBox folders were all uploaded to the server correctly. If you see the volume slider but not the skin, then the XML and SWF were uploaded but the folder was NOT uploaded to the server. This folder contains all the skin images (body.jpg, ff.jpg, rr.jpg) and all the MP3 files.