You have to insert the link in your browser, and it will ask you, with which program you want to open it. If skype is not listed there by default, select the skype.exe from your file system. If it doesn't work, try another browser, firefox worked all right, while Chrome tried to google the link.
The_Necromancer0, you could also write your Skype name here, such that people might send you a message in Skype and you add them to the group.