Thanks Omar! Your original comments contained some information saying that mosquito "saliva also carries that protozoan that causes Malaria...", etc. I'm curious why you seem to have removed that part of your response. I thought the information was very interesting. Any special reason for deleting it?

I did delete part of comment. I wrote it at work (as i am right now). Nothing I said was wrong but it didnt sound good. I wanted my words to be clearer (which I too often don't do). I was planning on writing a clearer, more thorough explanation but I forgot. So now, I will.

Inside the proboscis you see, is an array of cutting, piercing and sucking 'utensils' if you will. The proboscis you see is a thin sheath that holds 2 thinner tubes and 4 razors (maxillae). So when a mosquito lands on you she senses for a good blood vessel by probing her proboscis around. Once she finds what she wants, she will push her head down and push her proboscis in. The outer tube, you talk about is the labium (see here).

So, the labium pushes down, but never goes in your skin, but the six other tubes (the 'clear' tube in your picture is actually those 6 pieces) do go in until the blood vessel is penetrated. The two tubes go in your blood vessel, the hypopharynx and the labrum. The hypopharynx is analogous to the human tongue. So the hypopharynx secretes the saliva of the mosquito. The saliva is used to make blood pump more around the bite so she can get her bloodmeal faster. The saliva also prevents blood from clotting and become dry. Unfortunately the saliva, as you mentioned already, is what carries all the nasty pathogens that cause disease in other organisms. Finally, the labrum sucks up the blood and the salive into her esophogus and the stomach.

Man, I hope that makes my answer complete