Has this only just started happening (ie did songs play ok before)? If you play a CD thru the computer, does it skip?
Try playing thru Winamp & see what happens
http://www.winamp.com/

You might have just downloaded some really horrible files. Try downloading another version of one of the songs. Go for a 4 star file with a bitrate of at least 192. Preview the song during download, to see if it sounds ok.

If things didn't skip before & they still skip in Winamp then I don't know what's wrong!