I just got Skyrim downloaded from Steam and started playing it for a bit. I can only seem to get as far as the part after the first guy is executed, after that there is a large red box over the women in armor but it goes away after a moment but the game doesn't continue. Can't move, can't do anything really. Tried reinstalling it once but didn't seem to make any difference. Whats the solution for this?

You will need to include all of the missing information. If you are serious about getting an answer, you need to do your own part. Right now, the situation stands at this stage:

"No Data In = No Data Out"