Preparing for a Mess!

At this point, it would be a good idea to lay a large tarp in the room to catch any debris that ends up falling. Make sure it's large enough, not just the size of the skylight. Move any furniture that is even close to where the hole will be.

Check the Roof

Once you've located the wire, look directly above the location and make sure there isn't any kind of obsticle in the way, like a roof vent or something. If there is, and this is absolutely the only place you want the skylight, you can work around the problem, but it's best to know that the problem is there first.
After you've cleared away enough insulation to work comfortably, you'll make ready to go out on the roof. These instructions are assuming you have a regular ashpalt shingle roof. Other roofs can be done, but the instructions and time involved are quite different. I'm also not going to recommend cutting into the ceiling until we get an actual hole in the roof.

Read through the Skylight Instructions

All skylights come with instructions and dimensions. Be sure you read through everything. Of course, the instructions are not very detailed, but they do provide you with a lot of helpful information.
Another thing you have to consider is: How much light do you want? You can make the shaft straight down, or angled, in or out. If you want more light, you make the opening in the ceiling larger than the one in the roof. For less light, just moonlight for example, you can either make it them same, or even smaller.