To preload Skyrim on Steam:

1. Open Steam
2. Go to the Library page
3. Click The Elder Scrolls V: Skyrim on the left (assuming you have pre-ordered it already)
4. Click the Pre-Load button under the game title
5. Click “Start Preloading Now” on the pop-up that appears

And prepare to fulfill your destiny!

Pre-order Skyrim on Steam
Pre-order Skyrim for Windows PC, Xbox 360 or PS3

Skyrim Live Action Trailer: