Framing. Most skylights require breaking one or more rafters for the opening. Cut a section from each rafter 6 inches wider than skylight opening to allow for double headers at top and bottom. Support ends of cut rafters with headers and double up the full-length rafters that support the headers.
Curb. Some skylights include the curb. If yours does not, build a simple frame of 2 by 6s after roof sheathing is installed. Outside dimensions of frame should equal inside dimensions of skylight, less 3/8 inch in each direction. Lay curb over opening and toe nail it into roof sheathing with 8-penny (8d) nails. Be sure to square curb first, measuring both diagonals. Make certain that top surface is on flat plane; shim any sagging corners.
Flashing. Apply roofing up to bottom of curb and lay bottom flashing collar over roofing. Nail it to sides of curb. As you continue shingling up sides of curb, finish each row of shingles with a piece of step flashing, covering it with next row. Finish top of curb with other metal collar and carry next row of shingles over its top flange.
Skylight. To install skylight itself, lay a bead of caulk along top edge of curb and place skylight down over it. Drive special aluminum nails through sides of skylight into curb.