Walt: *on answering machine* Uh, it's me. I just wanted to say that I was thinking about you and the kids and uh, I love you.
The cold open to the previous episode, “Shotgun”, starts with Walt furiously driving to Los Pollos Hermanos as he is leaving this voice mail for Skyler. Out of context, Skyler just took it at face value; as a random display of affection towards her and the kids (it even got Walt laid!). But the real reason Walt called was because he thought he might not see her again. When Walt found out Jesse had been taken by Mike, he intended to confront and possibly kill Gus, thus putting his life at great risk. This could have been his final goodbye.
Skyler is starting to realize why he really left the voicemail in this scene, and now she sees that Walt is more deeply involved with the crystal meth game than she thought. She used to picture what Walt did as showing up at a lab, cooking, then going home a few hours later (almost like a real job). Now that she sees the real risk of continuing what he does, she is going to try and push him towards turning himself in or quitting.
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