I sent myself a video to skype on my pc afterwards i downloaded it to my phone and tried to find it but its not in my gallery or anything, its a .MP4 file.
"Gallery" is not a location, it is a picture viewing app.
Check your skype settings to see where it wants to save downloaded files. I would expect things to be in or under the "/Download" folder or in/under a "/Skype" folder.
Using your favorite file browser app, check those and other folders.