You have to load the mod and successfully run the /autoskin command for there to be any directories; if you renamed the mod’s GML file, the directory will be named different.
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The mod expects you to give a valid skin, and Melting by default does not have a C skin. Instead of typing what the skin will be (/autoskin Melting C rhino-skin), you should do /autoskin Melting A rhino-skin. This way it will generate the A skin sprites (you could replace A with B if you want B skin) in the %localappdata%/nuclearthrone/data/autoskin.mod directory within the folder name you gave (rhino-skin). After that you just edit the images and your skin should be ready for use.