To install software you first need to obtain it. There are several ways to do so and the wget method you used is one of them.

Next step is to actually install the software package and you have the two options yum and rpm. The method rpm -i skype-4.2.0.13-2.fc20.i686.rpm will try to install the package but can complain about unmet dependencies. yum install skype-4.2.0.13-2.fc20.i686.rpm will check for dependencies and will try to resolve them and provide you a detailed installation plan which you can accept to actually install the package including all its dependencies.

Within a desktop environment you might even open the downloaded rpm package using a file explorer and install from there.

In a lot of cases the installation steps are properly described on the website of the package maintainer so please read the installation manual which often describes which requirements there are and which steps you need to follow.

As a side note I would recommend to you to download the package from the vendors site if possible to have the most recent/appropriate version. If it can not be obtained from there you can download the most applicable version from rpmfind or similar sites. In this particular case Microsoft has version 4.3 available and you downloaded version 4.2.