Install Steam and purchase the digital media from the Steam store - Navigate to the Steam website, download the installer, and launch 'SteamSetup.exe' (see first video link above).
Skyrim is installed through Steam, and this can be done on one of two ways: If a separate drive/partition is unavailable, avoid installing Steam and Skyrim in 'C:/Program Files' or 'C:/Program Files (x86)' folders since Windows User Account Control will cause issues with a modded Skyrim. instead of installing to the C: drive, install it to D:, E:, etc).
STEP recommends installing Skyrim to an SSD, if available, and preferably on a separate drive/partition than the Operating System is installed on (i.e. GamerPoets demonstrates Skyrim installation