I was wondering why my skyrim.ini is located in documents/mygames/skyrim along with a 2nd copy of skyrimprefs.ini when the rest of the game is installed in steam/steamapps/common/skyrim. It would be nice if I could have all files located in the same folder.

Well, you'll have to get used to it. It was already like that for Oblivion.

Librairies in Windows can allow you to regroup all the folders related to a same subject.

Ok. So that's just how it is. Thanks.

Many games post-Windows Vista keep their saves and settings in My Documents (or one folder deeper, in My Games). It's probably because Vista introduced User Account Control and somewhat restricted access to Program Files folders. Also, having it this way, causes every separate Windows account (like family members) to have separate saves and settings, which in turn may be helpful, when the game itself does not allow to name saves, so it helps avoiding overwriting someone's save.