If you have activated Voice Messaging, your privacy settings determine who is able to leave you a voice message. If you’ve set your privacy so that only people who you know can call you, then the same applies to any incoming voice messages. If your settings allow anyone to call you, then anyone can leave you a voice message.
To view or change your privacy settings:
In Skype, click Skype > Privacy....
Under Allow calls from…, select anyone or people in my Contact list only.
Click Save at the bottom right of the window.