The Skyrim Script Extender, or SKSE, is a plugin for the PC version of Elder Scrolls V: Skyrim. It is one of the main programs players need to create, change and update mods. Mods, which is an abbreviation of the English word 'modifications', are changes to the game's code for the purpose of customizing the game. If you plan to modify Skyrim on your computer, you can do so once you have installed SKSE.
Steps

Step 1. Download SKSE
You can download Skyrim Script Extender (SKSE) from the developer's website. Download the '7z archive', not the 'installer'. Automatic installation can cause problems, and the program is usually a lot more stable if you install the files yourself.

Step 2. Download and install 7-Zip
This is a free file archiving program that allows you to open.7z files. You can download it from 7-zip.org.

Step 3. Extract the SKSE files
After installing 7-Zip you need to right click on the archive file and select 7-Zip → Extract Here. A folder will be created in the same place containing the extracted files.

Step 4. Locate the Skyrim directory
Skyrim needs Steam to install so you need to check your Steam folder. The most common default installation directory is:
C:\Program Files\Steam\steammaps\common\skyrim\

Step 5. Open the folder containing the extracted files in another screen
You should now have two folders open: the Skyrim folder and the folder containing your SKSE files.

Step 6. Copy all
.dll - and.exe files in the SKSE folder and place them in the Skyrim folder. This should be all SKSE files except the two directories.
Choose to overwrite or replace existing files if a message appears

Step 7. Open the
Data\Scripts\ folders in both the Skyrim folder and the SKSE folder.

Step 8. Copy all
.pex files in the SKSE folder and place them in the Skyrim Scripts folder.
- Choose to overwrite or replace existing files if a message appears.
- You don't have to do anything with the rest of the files. They are only needed if you plan to code your own mods from scratch.

Step 9. Go back to the Skyrim game directory

Step 10. Right click on
skse_loader.exe and then click on 'Create shortcut'.

Step 11. Drag the shortcut to your desktop

Step 12. Launch Steam
Steam must be running to start your custom Skyrim game.

Step 13. Double click the
skse_loader.exe shortcut to launch Skyrim.
You can now download and install mods for Skyrim that require SKSE to run.