All Skype users should be careful with any URL offered while in the chat mode. Most AV products have coverage now and staying up-to-date can help folks stay protected.
PC World - Skype Warns Users of P-to-P Worm
http://www.pcworld.com/article/id,137007-c,worms/article.html
quote:
Skype users are under attack from a new worm that spreads through the peer-to-peer Internet phone application's chat feature. The attack begins when a user receives an instant message containing a link from someone in their contact list or an unknown Skype user
ISC - Skype worm
http://isc.sans.org/diary.html?storyid=3363
quote:
A worm is currently spreading which is specifically aimed at Skype users. Known as Ramex, Skipi or Pykspa, it abuses the chat function of Skype to send a short message containing a link to a seemingly benign JPEG file to other users. Users that click on the link will download and run a copy of the worm, and start to infect others.
Additional links below:
Skype's official security warning
http://heartbeat.skype.com/2007/09/the_worm_that_affects_skype_fo.html
Computerworld article
http://www.computerworld.com/action/article.do?command=viewArticleBasic&articleId=9035198
Pykse.b - McAfee information
http://vil.nai.com/vil/content/v_143083.htm