Windows XP SP2 included a new feature called Data Execution Prevention (DEP) that use certain functionality within Intel and AMD chips to prevent common security exploits from running.
Except it would seem that the latest version of Skype 2.0 is causing this error message to be displayed. Skype touts itself as an easy to use application for making VoIP calls but what will users think when they are faced with such an error message.
Fiddling with the options will allow you to exclude DEP checks on Skype but should one really be doing this when Skype interacts with a public network? Skype is not immune from security problems so turning off DEP would not be advisable.