Skills give your character the chance to survive in combat and succeed at difficult tasks. With the proper skills, a character can hide in deep shadows, move through a woodland unseen and unheard, or track other characters across even the rockiest of terrains.
Learning a skill comes in two parts: acquiring the skill and developing it. To acquire a skill you must first find a teacher. Then, after spending some time (and possibly some cash) you will be able to use that skill. Not all teachers are equal. A better teacher will start you off with a higher skill level. and allow you to progress in the skill more rapidly (as you will have less bad habits to unlearn). Once you have acquired a skill, the only way to improve in it is to practice. By constantly using the skill, you will raise your level. Periodically, you can return to a teacher who can help you assimilate the knowledge you have gained, and speed up your learning curve.
If you go for a period of time without using a skill, your proficiency level will begin to decay. The decay is fastest at the upper and lower ends: It is easy to forget something you don't know too much about, and easy to lost the sharp edge of a master without constant training. Middling skill levels are easiest to maintain.