Normally, Skype installer can be downloaded from http://www.skype.com/go/getskype. This file does not contain all parts needed to install Skype on Windows, just some kind of downloader. It will try to connect to Skype and download the rest. This method may feel faster (for some people, perhaps, who knows). I prefer to download a full installer, which is on http://www.skype.com/go/getskype-full.