Does your frog look like this (webbing on feet only; no webbing on hands):
http://www.redearslider.com/forum/viewtopic.php?t=8231
If so, he is what is known as an Aquatic Clawed frog. And yes, they do shed their filmy white skin. It hangs off, and about 99.9% of the time, you will catch them eating it. Gross as that sounds, frogs often will eat their shed skin, so don't be alarmed if you see him do that. It's normal for them (although it looks horrible from our vantage point!).
Here's some more info on frogs:
http://aquaticfrogs.tripod.com/id1.html
There's also a wonderful group on yahoo groups called "froggyfriends" that I am a member of & have gotten lots of great info from. Check it out!
Kristin