Here’s how to use this feature: Users can choose “New Private Conversation” from the compose menu or the recipient’s profile. The recipient will receive an invitation when the user initiates a new private conversation. After the recipient accepts the invitation, all calls and messages in the conversation will be encrypted end-to-end until the user chooses to end it.
Users can only participate in a private session from one device at a time. Users can switch conversations to other devices, but the messages they send and receive will be associated with the devices they were using at the time. Users can now download the latest Skype app from their app store to enjoy this feature.
Via: mspoweruser