The ModernUI version of SkyDrive doesn't store the files locally - which is a pain if you want to use (for example) an image from your SkyDrive as your profile picture, desktop background, etc.
The solution to this is either install the desktop version as well, or if on Windows 8 RT, download the files you want to use outside of SkyDrive on to your file system:
- Browse to the files or files you want to download
- Right click/Swipe down on the files, which will outline them and add a "tick" overlay on the file, and display the task bar.
- Select "Download" from the task bar, which will allow you to select the local folder you want to add them to.
Alternatively you can select the files, and "Share" them with some apps from the Share charm.