Yes, we need to fix/improve our in-game sound controls. It's on our list of things we are working on.
Until we make the change, you might be able to adjust the game's volume another way.
- With Dawn of Fantasy open, Alt-Tab to go to the desktop
- Right-click on the Speaker icon in your System Tray
- Select Volume Mixer
- Adjust volume for Dawn of Fantasy or mute it
You should now be able to chat with your friends over Skype without hearing any sounds from Dawn of Fantasy.