Skype file download in chat: "The file isn't available yet"

"One of the methods Skype uses to be resilient is packet relay between peers on the Skype network. In some cases Skype will relay through other users to get messages or data to you. This is so people behind firewalls or on network segments that do not have connectivity to one another can still receive messages. So while Skype is peer to peer, in some cases you may not be connecting directly to the peer you are actually talking or exchanging data with.

The article ""The Silver Needle in Skype"" discusses this and other interesting things about Skype."