Windows does not natively support this.
Control Panel software that comes with hardware usually can't distinguish programs either, only ports. This means that in order to get this to work, you will have to work with software such as Virtual Audio Cable to create virtual ports and redirect one program such as skype to use this audio device, while windows uses another.
The biggest limitation is that in order for this to work, the program itself must have the option to select a playback device. Skype offers this, so in your example, this will work. This does mean that all sounds in windows will be directed to one speaker, where skype uses the other.
Do note, that programs such as VAC are not free.