What is the single most important step in installing your skylight? Flashing. If you do this wrong, your bed's gonna be soaked with the first rain. Self-flashing skylights will pretty much take care of themselves, curb mounted skylights will need to be flashed. Many skylights come with a flashing kit, for some it is a seperate purchase. If you didn't get a kit, you'll have to make the flashing from sheet metal and that's not a simple job, so I recommend you pay for the kit.
You can use freeze paper or roofing felt to create an extra barrier of protection by following these instructions.
Cut some felt about 12" wide and long enough that you can run strips down each side and across the top and bottom, with plenty extra. Measure the distance from the roof to the top of the curb. Multiply this times two and subtract it from 24" (the width of two pieces of flashing). That will tell you approximately how much past the curb on each side you'll have to make the bottom piece. Now measure the width of the curb and cut a piece of felt that is the width of the curb, plus the number you just figured. Lay this piece on the roof and carefully bend the paper so that it is flush with the top of the curb. Don't crease it hard, let it have about a 1/2" radius. Smear 100% silicon or roofing tar under the paper and stick it in place, the two sides should stick past and will be sticking up in the air at this point.
You have to cut an angle on each side so that the freeze paper will lay down and a small triangle wraps around each corner. Again apply silicon or tar to keep those segments secure.

Side Flashing

Measure the distance from the curb, straight down to the bottom edge of the freeze paper. Multiply it by 2. Measure the length of the curb and add the two dimensions together. This is how long to cut your side pieces. Follow the same process by laying it down float and wrapping it up the curb, flush with the top. The end of the side piece should overlap the bottom flashing and line up with the bottom edge. It should stick past the top of the curb the same amount as it sticks past the bottom of the curb. You have to cut the angles on the top and bottom so that there is a little triangle piece that wraps around and the rest folds down onto the roof. Complete both sides.