This will happen when the Internet Explorer plugin for Skype has not been installed. To install the Internet Explorer plugin you must run the Skype setup again. On the first screen of the Skype setup click the 'Options' button located in the bottom left hand corner. In the new window put a check beside 'Install Skype plugin for Internet Explorer'. Once that is done continue with the rest of the Skype setup.
Have more questions? Submit a Ticket