Near the perimeter of your pool you should have one or perhaps two (typically white) skimmer lids. Lift the lid, pull out the skimmer basket and empty. If your pool is screened in, usually checking this once a week is sufficient. If your pool is not screened in you will need to check and empty the basket more frequently. Leave the basket out if you will be vacuuming.
Just a note of caution when emptying baskets: I have found frogs, lizards and snakes in skimmer baskets (alive and dead). Be certain to look into the basket before reaching in with your hand. It is also best to place basket debris far away from your pool or it will blow right back in you pool.