Your character's survival in these dark times relies heavily on his or her skills. When your character first enters the world, the extent of it's skills isn't much more than knowing which end of the pointy thing hurts. However, you'll find that learning happens quickly in Camelot, if you apply yourself.
Each time your character levels (goes up a level) you'll receive some specialization points. How many you receive depends on your class. Some classes receive one specialization point per level, and others receive up to two and a half per level. Return to your trainer to use these points. Right-click the trainer, then click on the skill you want to train. To view information about each specialization line, you can click on the Info button. Finally, click on the Train button. If you have enough specialization points, you'll be trained in the skill, and gain whatever bonuses, if any, that entails.
Skills become more costly as you raise them. For example, to train from level 1 to level 2 in Blades, it will cost you two specialization points. To go from 49 to 50, it will cost you 50 specialization points. Be sure to give all available skills due attention, as they are all important, based on how you want your character to interact with the world. Your specialization choices will dramatically affect how your character develops at higher levels, since the specific skills you will receive are based on the amount of training you have given different specialization groups. The spells, styles and abilities you receive and the amount of their improvement are based on a skill tree, so even characters of the same class may have different skills, or be more effective with them, based on specialization choices.