Since the version of Windows wasn't stated and I think it's the software he meant, I'll list the both solutions.
Windows XP and below:
My Computer-->C Drive-->Docs and Settings-->[your user name]-->Applications-->SKYPE
Windows Vista and above:
My Computer-->C Drive-->Users-->[your user name]-->AppData-->Roaming-->Skype
Firstly you'll have to go to the control pannel to enable view hidden files in your folder options since "AppData" is a hidden folder.
Folder options, view, hidden files and folders - change to "show hidden fliles and folders"