In addition to spacelander's answer, who already pointed out the correct way on how to install the package, I aim to provide some explanation on why the error occurred:
The file you've downloaded is a package that contains the Skype software. You can see that it's a package because it has the
.deb file extension.
Those files (the packages) are downloaded when you use package managers like APT (for example by executing
sudo apt-get install <package-name>) or the Ubuntu Software Center and are installed by a tool called
dpkg. It's also possible to download packages manually (just as you did). In this case only
dpkg gets executed.
By dragging and dropping a file to the terminal window, the shell (the program running inside the terminal window handling all the commands you enter) tries to execute this file as if it was a runnable program. This can be helpful when you write shell scripts (which are little, runnable programs that execute commands just like you do when you type something in the terminal window).
In your case, dragging and dropping is however not helpful: The
.deb file itself is not a runnable program but instead a collection of texts, binaries, images, sounds (every component of Skype) and therefore can't be run by the shell (it needs to be processed by
dpkg). Nevertheless, the shell tries to execute the file like a script but fails.
This is the reason why you see the error message.