There are two ways to solve this issue. The first one requires using VLC layer to play the audio. You can download VLC Player here.
The other reason this occurs is when the Skype Microphone Volume is much greater than the Speaker Volume. Go to your Skype settings and adjust the volumes so that both Microphone and Speaker volume are roughly at the same level:
In Skype, select Tools, Options from the menu.
Click Audio Settings under the General tab.
Make the Speaker Volume and Microphone Volume about the same, as shown here: