The newer agents in cancer care are a class of immune-modulating agents...basically "unmasking" cancer cells to your bodies immune system. They can be very effective. Sometimes the combo of these drugs and radiation can have an "abscopal effect," where the body starts killing off cancer cells that weren't targeted with radiation just because the immune modulating drugs in combo with radiation prime the immune system to start killing cancer cells.
Melanoma was one of the first, if not the first cancers that has shown good results using this type of drug...so there is definitely some role in innate immunity for most if not all cancers, but especially melanoma. I'm not aware of the whole colds/flu phenomenon though, that's outside of my area of expertise.
Not sure of the utility in taking a drug to prevent a skin cancer though...lots more research would be needed to know which subset of population may benefit and what type of long term side effects may be there.