For this procedure, you will have to be connected to the Internet. Start the application, and login to your account, then go to Tools > Options. Click on the Personal tab then Edit Profile. Once the profile loads in the default browser's window, click the photos menu and then delete the files. The changes will be automatically applied.
If you locally used the profile pictures, reinstall the messenger if you still have the package, because the new Live Messenger has been embedded into Skype.