Funny, I'm in the process of writing about this very thing for my blog.
To install:
Quit Skype.
Double-click the Image (.dmg) and a window with the Skype icon will show up. Drag that icon to your Applications folder.
Eject the "volume."
Throw the Image away.
Open Skype from your Applications folder.
To delete:
Quit Skype.
Go to Applications folder
Drag Skype to trash
Drag "volume" to trash
Drag Image to trash