Where did Skype download? I can't find it anywhere, but it says, "Downloaded"
Click on your Finder icon, then on Applications. You'll see Skype listed. Click to open. You can drag it down to your row of icons on the bottom of your Desktop so next time you want it, it's easily accessible.
If you haven't installed it yet, it should be in your Downloads folder (near the right end of the Dock).