Training skills in EVE is like skill training in the Matrix movies.
Imaging Neo, he’s sitting in a chair and to learn a new skill all he needs is a program to teach him that skill and some time to plug it in and upload the skills to his brain.
The difference with EVE is that you are not ‘the one’ or the main character of this story, unlike in many other games, and that subsequently there is no Morpheus to give you the skills for free but that you have to get those skillbooks ingame yourself.
Many skillbooks are easily acquired from rookie missions or bought at starting schools, but some skills will be harder to find and can only be found in certain places, such as specialization skills for triglavian weapons.