I'm new to Elder Scrols and I dont know how story goes.
And anyone know how goes the story because I dont wand to skip games and story before I play Skyrim.

http://www.gamesas.com/topic/1112211-how-to-become-a-lore-buff/

http://www.gamesas.com/topic/15282-elder-scrolls-lore-faq/

Here's lore, read it.

The first two games (Area,Daggerfall) aren't connected to Morrowind,Oblivion and Skrim?

Is that right?

They all take place in Tamriel, Arena to Oblivion are all connected in that Emperor Uriel Septim VII has a role (sometimes fairly minor) to play in them.

All are completely independent. There are some references to past games but not in a way that matters at all.

That's a little harsh, I've had a lot of Skyrimmer friends come up to me and ask about what the Oblivion Crisis was. They're connected pretty heavily, but you can learn what happened in the previous games from playing Skyrim. You just need to read the books!

Just asking if is there any good co-op mod for Skyrim?

No. No co-op or multiplayer of any sort.

I meant in a way that would seriously influence your understanding of the plot/ enjoyment of the game.

The best way to learn the story is to read the in-game books. They contain a lot of the lore that fills up the universe. If you're not planing on playing the previous games at least read som detailed summaries of the game-stories. It's better to refer you to reading than it is to write down lore here in posts, because you're asking a rather large question.