This could be because you're trying to listen to Yahoo! LAUNCHcast at a bandwidth higher than your current network connection supports. You can change your connection settings to a lower bandwidth by selecting the "low" or "medium" stream quality in the Yahoo! Launchcast Player window.
If you're surfing to other web sites or pages while you play your station, loading those web pages reduces the amount of bandwidth available to stream music to your computer.
Another cause for skipping could be that your computer's processor is maxed out. Try quitting other applications while you are listening to Yahoo! LAUNCHcast.
For optimal performance, try adjusting the Windows Media Player's buffering: