Skype. hi I am experiancing problems trying to download skype I have never tried to download

Question

hi I am experiancing problems trying to download skype I have never tried to download anything before as I feel a bit computer illiterate!! Whenever I press the download skype box a box pops up asking if I want to run or save the file . I then click to run it, as soon as I do this another box pops up saying the publisher could not be verified and am I sure that I want to run this file, I again click run. then another box pops up it says
c:/documentsandsettings etc
underneath is what I presume is the document name and then at the end it says .exe is not a valid win32 application.
I am not sure what I need to do to my computer in order to download skype and have a friend moving to aus that has it so if anyone can help I would be most greatfull.
Thanks