1.go to control panel>internet options, and delete cookies and temp files.
download the Skype software again, but save it in a different folder.
Try running it again.
To resolve the problem Use Mozilla Firefox (instead of internet explorer) to download the file and bingo it install imediately with no problems
This may be an issue with the anti virus or firewall security suite running on the system.
Try exiting the security suite application and then try installing skype.