If memory serves, it occurs once an era. It may or may not have happened in Skyrim already during the quest you get from a certain prisoner in Falkreath. I'd have to go back through the dialogue of that quest to be certain, though.
Edit::
:Bloodmoon Prophecy:
"It is time we spoke of this. The legend tells of a time that occurs once in each era, when a demon god will walk the land in the company of his Hounds, creatures of terrible might. He is The Hunter, and his coming is preceded by three signs. I had prayed that I had misread the signs, misunderstood the prophecy, but I am sure it is not so."
http://www.imperial-library.info/content/bloodmoon-prophecy