Hi, and welcome!
If skew.RData is in the current working directory,
load("skew.RData")
loads an object, dat, with the following result
> dat
[,1] [,2] [,3] [,4]
[1,] -0.626453811 1.134965089 -0.8861495854 0.75936749
[2,] 0.183643324 1.111931845 -1.9222548963 5.95966477
[3,] -0.835628612 -0.870777634 1.6197007441 3.06785268
many more rows omitted. I'd use a reprex, but it doesn't play well with this situation.
Using `install.packages("skew.Rdata") will never work, for the simple reason that it isn't a package.