Try going into the "Configure your desktop" in the menu - somewhere in the menu under System > Configuration" I think.
Under look and feel, then Panels, there is a menu tab. This will let you add Skype to the menu. This isn't a very smooth way of adding it, and I don't know why it hasn't automgically added it in - there used to be problems in older versions of Mandrake, which could be fixed by running a utility from the console (update-menus?), but I don't know if this still exists.