Installing Headers

Assuming that your skylight falls between two rafters, you'll need to use a speed square to set the proper angle for the headers. If you are going straight down, you can use a level to get a plumb line from each corner. You'll then measure the distance between rafters and cut two headers, one for the top and one for the bottom. Place them between the rafters and position them on the mark. Drive 3 (for 2x6) 16d nails into each end, through the rafters and into the headers. You'll do this from inside the attic.
If you are doing angled or splayed walls, you'll have to figure your angle and mark it accordingly, then match up the rafters on your line. For built-up roofs, you usually just go straight out at 90 degrees (square with the roof).

Jack Rafters

For lights that are smaller, you'll install the headers in the same way. Then measure the distance between the headers and any angles, cut a jack rafter to fit that opening and side nail it to the adjecent rafter. If we're talking 1/2" or less, don't worry about the jack rafter and just use shims when you finish out the opening.

Install The Curb

Whether you made one or it came with one, install the curb by fitting it over the hole and toenailing it into the roof sheathing and into the framing. Self flashing skylights won't need this step. Make absolutely sure that the curb is completely square before nailing it in place. You can use some corner blocks to hold it square while you're working with it. Some skylights come with curbs, and they'll already have the blocks in place. Check that you're square by measuring diagnally from point to point both ways. You should have exactly the same measurement.