What sindrom said, is theoretically correct. This doesn't only work for skype also for multiple other applications. I'm using it for teamspeak when my laptop is connected to my TV.
Receiving Skype sound through laptop speakers, while connected to a TV that plays the main sounds
Quote:Step #01, get into the output devices menu Step #02 you probably did this already but it might be still useful for others, activate the laptop speakers Final Step, adjusting skype settings // the skype options picture might be outdated, took it from the net
Teamspeak, VLC Media Player, Windows Media Player, StarCraft II, Ventrilo are allowing you to change the output settings via the customer application, using either of those will save you to work around in windows. Just go into the settings of the application and simply change the output device. Those are not all applications that support this, though only those I can think off at the moment.
For your desire, a soundcard would be optimal. This way you could customize the sound output/via monitor completely without having the need of an application output-settings support.