The latter four are all dependent on Skyrim.esm and the final three are also dependent on Update.esm (which holds patch content), but they are not dependent on each other. esm files you should see are Skyrim.esm, Update.esm, Dawnguard.esm, Hearthfire.esm, and Dragonborn.esm, depending on which ones you own. Double-click on the ones you wish to load.esm files are master files all mods are dependent on them.esp files are plugin files these are mods which cannot be loaded on their own.
Once the CK is open, click 'File' at the top and select 'Data.'.
It is a free download for Skyrim PC players. You may find the Creation Kit (CK) by heading to your Steam Library, clicking on 'All Games' next to the search bar, and selecting 'Tools'.
