I've found it effective to just watch Skype with Fiddler, and add whatever ad servers it touches to my hosts file, and redirect them to 127.0.0.1 Entries like this work for me:
#BEGIN: Skype ad servers
127.0.0.1 rad.msn.com
127.0.0.1 a.rad.msn.com
127.0.0.1 secure.adnxs.com
127.0.0.1 m.adnxs.com
127.0.0.1 ads1.msads.net
#END: Skype ad servers