You can't really skip it as until you cancel it or save it, this dialog will not let you proceed.
I suggest you to use third party tools like AutoIT or Sikuli to handle the dialog. It can't be handelled by Selenium as this dialog is generated by the OS so, it is beyond the scope of JavaScript.
In case of any thrird party tool like Sikuli or AutoIT, you will not be able to execute your step on the remote machine.
I suggest you to rewrite your test in such a way that you can avoid the above step.