ReeKorl

Skype is VoIP software, it's nothing to do with setting up the headset. Basically, you get a screen name, and you can call anyone else on the Skype network over the internet for free. Some people use this during games, but I've found TeamSpeak is better suited to this job. Skype is well worth getting anyway, as if you get an account there, you can call anyone's phone in the world with the SkypeOut service, and it doesn't cost much, much less than an international call anyway.

TeamSpeak is similar, but works using private servers instead. You'll need to download the TeamSpeak Client, install it, then connect to a server. You'll need to get details of what server IP address, any passwords, etc, from the other guys on the game, as you'll need to be on the same server as them to hear/speak to them.