"From time to time, fragments of Aetherius fall from the heavens. The people know these fragments as 'shooting stars'". -http://www.uesp.net/wiki/Lore:Magic_from_the_Sky
During clear weather from 8:30 PM to 6:00 AM you will see shooting stars. Realistically you would have to watch for hours in order to see a few of them. However on Nirn due to the lack of light pollution (and because you'd get bored waiting), visible shooting stars are much more frequent.
But doesn't Skyrim already have shooting stars? No. What you saw was a spell cast by a mage in combat out of your range of vision.
- Nightly shooting stars at various sizes and from various positions in the sky.
- Meteor showers (shooting star frequency increased) that are guaranteed to occur during certain days of the year (see below).
- Meteor storms (shooting star frequency greatly increased) that occur extremely rarely. You might see these 2-3 times per year in Skyrim. They have not been documented.
- Adjust the frequency of shooting stars by looking at your "Shooting Stars Leaflet". The default setting is a shooting star about every 30 real time seconds somewhere in the sky, which I believe is a good balance between making them common enough to see and not diminishing their "Ooooo" factor. If you lose this document you can craft another at a tanning rack with 1 roll of paper.
- Since shooting stars aren't too difficult to see now, we all need something else to wish on. Colored shooting stars are meteoroids composed of very high concentrations of certain elements. If you ever see one be sure to make a wish upon it.