The SDK doesn't need to be installed as it is hosted on a Skype site. All you need to do is add a <script/> tag in the HTML file, as follows:
Like the Unified Communications Web API (UCWA) 2.0, that has been written about in previous blog posts, the Skype Web SDK authenticates users against Skype for Business on Office 365 servers through Azure Active Directory. The pre-requisite in both these cases is to have an Azure AD app configured to allow API access to the Skype for Business app. More information on how this works with Skype Web SDK can be found here, under "App Registration".
To learn more about what's supported in this developer platform or to inspect the matrix of features offered by the Skype Web SDK, check out this page under "Feature support matrix".