Advertisement on Skype tried to download a file to my computer using Javascript
It seems to me that Skype is using the areyouahuman.com ad tech to only deliver their ads to "humans".
Why it wants to download the file? If you see at "Type" it says: Undecided. Which could be a bug in the areyouahuman server which failed to set the content-type header. In the case of browsers, they normally display the "download file" pop-up when the type is not recognized (similar to what happened to you).
It can be that Skype is using an embedded browser instance to execute the banners. I don't know it that is true, but that seems to be the case.
Does it pose a security risk? I'm sure it is. If Skype is rolling their ads allowing Javascript, someone could potentially inject malicious code into them.
How bad can it get if that happens? If what I stated before is true, my guess is that it can get as worst as any browser vulnerability.
Better to contact Microsoft and report that bug.