Are you having trouble learning the skill, or using it? I recall someone could not learn a couple skills, but clearing the dynamic folder fixed that (delete all of the files in the '..\Divine Divinity\Run\Dynamic' folder)
This folder is used as a cache for the game. Files are created / copied there from the save game folder when you load, and written / copied from that folder when you save a game. The files will be re-created as required the next time you start Divinity. If there was a corrupt file in that folder, deleting the files should fix the problem.
For using the skill, stand next to the door/chest, right click (with the Lockpick skill active) somewhere, then left click on the door/chest. Many doors have a lever to open them, check the area around them. Increasing the gamma in the video options can help you spot levers and other point of interest, especially underground.
