You can't attach a file to a private message?

[Flareon350]

Most use Skype as a means to send files, but if you want to do so here the best option is to upload the file you want to send to some file sharing site (like Dropbox, which is what I personally use) or a file uploading site (like Mediafire), copy a download or sharing link to that file after uploading, then send the link to whoever you want to send the file to.