on

I am talking with a friend on Skype.

You are talking with a friend, using Skype. You are on Skype. The communication is via Skype, that is accurate, but we just don't say it that way. Either of the above is correct.

While you can use any of those prepositions for chatting with Skype, I would suggest using "on", e.g. "I am chatting on Skype with a friend". Sometimes, however, a common slang usage (at least in American English) is to use Skype as a verb, e.g. "I will Skype my friend later", or "When is a good time to Skype you?". (You can also say "...Skype with you", since it's slang you can get away with it :))