To raise your abilities and skills you need to spend some of your improvement points (IP).
Your principal character traits are your abilities, listed in the Abilities category (Strength, Body Development, etc.). The six base abilities (Strength, Agility, Stamina, Intelligence, Sense and Psychic) affect all your skills, and you should consider increasing them as much as possible - at least for the first 15 levels or so. Left-click the button on the right of each bar to spend IP on a specific ability or skill.
Body Development should always be increased as much as possible - you can never have too much health. Nano Pool can be increased as needed, but if you rely on nano programs in battle, you should increase it as much as possible.
Browse the categories by clicking the category-names on the left hand side of the skill window. You will notice that some skills have a green bar, while other skills have a blue bar. Green skills are "cheaper" (they cost less IP) than blue skills.
Some skills are needed by all professions sooner or later, and should be increased as much as possible. These are Treatment (Nano " Aiding category) and Computer Literacy (Trade " Repair category). Treatment is needed for using better medical equipment and installing implants. Computer Literacy helps you get more favorable prices in shops, and is required for installing computer decks to increase your Nano Controlling Units (NCU) for running more nano programs.
The nano skills Psychological Modifications and Sensory Improvement (Nano " Aiding category) are also needed to some extent (61 ranks) by all professions, for running nano programs that boost skills. The programs are known as <skill> Proficiency and <skill> Expertise, and can be found in shops. Better skill in First Aid (Nano " Aiding) allow you to use better first aid equipment, giving you an extra source of healing on combat.
As an Agent you will normally be using a sniper-rifle in combat, and should increase the skills Rifle , Aimed Shot (Ranged) and Ranged Initiative (Speed). Increasing Concealmend (Spying) is needed to be undetected to get off an Aimed Shot to start a battle. Press H on the keyboard to toggle sneak / hide mode. If you feel you get hit too much, you might want to increase the skills Dodge Ranged, Evade Close Combat and Duck Explosives (Speed), depending on what kind of attacks your typical enemies use.
Your most important nano skills (Nano " Aiding category) are Biological Metamorphosis, Psychological Modifications and Sensory Improvement. These allow you to use nano programs to temporarily change into other professions and utilize some of their nano programs. Depending on what profession(s) you prefer changing to, other nano skills are also important. Developing and playing an Agent is a long and often hard learning process.
Remember to personalize your character! Whenever you are about to make changes to its skills, always ask yourself: "What is the essence of my character and how do I want it to evolve?" When you are satisfied with your skills, click the Accept button at the bottom of the skill window to confirm your changes.