Open Skype, Tools, General Settings. There's a checkbox saying "Start Skype when I start Windows". Simple as that.
On the other hand, I've noticed that if I do that, I'd forget to start Skype most of the time. So I let it start automatically, allowing myself to be available unless I decide I don't want to. Before gaming or if I simply don't want to be disturbed by Skype, I just right click the icon either in Taskbar or Notification Area and choose "Close". By default there'll be a pop-up window asking if you really want to shut down Skype, but there's a check box for eliminating that question in the future.
