While the Windows UI makes it possible to create simple shortcuts, then there is no UI for more complex stuff.
After some searching, the correct Target line in the shortcut properties must be this:
C:\WINDOWS\explorer.exe ,/select="C:\Documents and Settings\A User's Account Name\Local Settings\temp\SkypeSetup.exe"
It is important to separate the executive and its options from each other with a space, after which the comma starts in that line.
This also works from the command prompt.
Applies to Windows XP, but should also work in other Windows versions. YMMV.