You can find the Skype sounds in the Options dialog, under sounds. You can play them there. I don't think they have actual files on disk, and are either part of the program's resources or inside one of it's data files. Not sure where Steam stores it's Client sound files.
Also: it's worth noting that even if you have system sounds muted, that would only prevent sounds played by the system, and not those by applications- applications can play system sounds. So if you mute system sounds, you would still get say notification sounds from outlook or thunderbird, even though the mail message event sound is in the system sound control panel.