The long answer is that you can install the Linux client for Skype and copy your
settings, if you know how to do that. This works for most programmes that have
both Windows and Linux clients such as Firefox and Thunderbird, so it should
work for Skype.
MSN will not run in Ubuntu, so you will need to remember your account
information and set up your account information in a programme such as Pidgin or
Kopete which works with MSN or Live Messenger.
If you have a relatively new computer (i.e. lots of RAM and a good processor)
and have a copy of Windows then you can install VirtualBox in Ubuntu, then
install a Windows virtual machine in VirtualBox. Then you need to install all of
the programmes that you want to use and afterwards you can just drag all of
your settings from your Windows machine to the virtual machine. This way you can
have Windows versions of Skype and MSN running in Linux.
You can access your Windows drives from Nautilus, the Ubuntu file manager. Look
in the Places tree on the left side for your ntfs files system. You may need to
input your password to access it. You cannot access your Linux files system from
Windows, unless you install a third party utility such as ext2fs to do so.