When you download the SkyDrive desktop app on your PC or Mac, your desktop SkyDrive folder is automatically created. Any file or photo you put in this folder will be automatically synced to your other computers that have SkyDrive. And, you can still access your files on your phone. You'll also be able to get files from that machine even if you forgot to add them to your SkyDrive.
Go to the SkyDrive apps page and click Windows desktop or Mac to download the SkyDrive desktop app.