The top piece should be the same size as the bottom piece. It will lay on top of the two side pieces, and goes on in the same way. Be sure silicon or roofing tar makes a complete contact barrier around all perimeters of the paper. The little triangle pieces should also be siliconed in place.

Metal Flashing

Now it's time for the kit flashing, or the flashing you made (bless your heart if you made it). Slice the roofing paper just wide enough that the top flashing piece can slide into it, and about 8 inches from the curb. If you tear any roofing paper, have extra pieces handy so that you can slide them in and silicon them. Over lap them in such a way that they lay like shingles.
You should have several pieces of step flashing for the sides. How many you need depends on the length of your skylight. An average skylight would require 20 or so. Start putting the shingles back on at the bottom. As you get closer, see if your bottom flashing will fit and hang over a course of shingles, while covering any nails. When you get to the point that it will, install the bottom flashing per manufacturers instructions, but don't nail the sides.
Now shingle up the sides of the light, but when you cut the shingles, leave a gap of about 1/2" between the shingle and the curb and don't put any nails within about 4 inches from the end towards the curb, on either side. This will facilitate you being able to slide step shingles in place once you're done installing the shingles.
Once you reach the top, slide your step shingles in from the bottom. The wide portion goes on the roof, the narrower portion goes against the curb. When you get to the top, make sure you slide them under the top flashing.