Hi, jjss32, and welcome to the Community,
Deleting photos was evidently a feature included in previous editions of Skype.
Here are interesting (and informative) threads on this topic, which also include creative work-arounds: http://community.skype.com/t5/Windows/Cannot-delet
If a suggested idea resolves your question, please click on the "Accept as Solution" button so everyone else will see what works!
-> Please send Private Messages only upon request.
-> Good reads: Devise good passwords and stop password attacks
and this one, too: http://www.rd.com/slideshows/internet-security-how-not-to-get-hacked/