Don't worry about it. It usually does that when you are using applications like utorrent or Skype that require an internet connection and are constantly downloading to get information. It just detects some of those connections as unsafe, alrhought they aren't actually.
first make sure that the skype launcher is really called "skype.exe"
if yes ok
if not it's probably a backdoor, the strange thing is that i also have skype but the AV doesn't say anything to me