It'd help which skill you were trying to hotkey because, not all skills are hotkeyable. For the ones that are, you Left-Drag the skill into one of the slots and click when the slot lights up. From my experience, those slots don't become active (light up) unless you aim towards the very bottom of the slots. I think they did that so that you couldn't accidentally move something out of the bar. They must never have heard of "Locking" the action bar.