Skills refer to certain kinds of talents a creature can be Proficient in, to gain a Proficiency Bonus on the corresponding type of Skill Check. Each Skill is also related to an Ability Score, which determines the Ability Score Modifier applied to that Skill Check regardless of Proficiency. To get a full picture of how Skills are involved in rolls, you may want to go through the Die Rolls page, but here is a brief example:
The Athletics Skill is based on the Strength Ability Score. This means that when a creature rolls for a Skill Check based on Athletics (in other words, an Athletics Check), it first of all benefits from its Strength Modifier. If the creature is Proficient in Athletics, it additionally benefits from its Proficiency Bonus, which is unrelated to Ability Scores and is based purely on the creature's Level.