How do I automatically download incoming photos or files in Skype on desktop?

1. Select your profile picture.
2. Select  Settings.
3. Select  Messaging.
4. Select Auto-download photos and/or Auto-download files. After you turn this on, any new photos or files you receive in a chat will automatically be downloaded and saved to your device. You can go back into Settings and turn this feature off at any time.

The file save location is defaulted to Downloads.
 

Change Directory where a received file will save

1. Select your profile picture.
2. Select  Settings.
3. Select  Messaging.
4. Under When I receive a file, select Change Directory.
5. Choose the folder you want to set as the new default location, then click Select Folder.