The file that is in the "game data utility" folder is the skyrim patch file. Sometimes after they release a new patch skyrim seems to run better if you delete the old patch and reinstall it completely. If you havnt played it before it shouldnt be an issue.
The files under "saved data utility" are your character saves. Dont mess with those unless you want to actually delete one of your characters.
Nope that one is the actual game file. The patch is labeled "skyrim update" if its not there then you dont have any patch installed at all and it will automatically install next time you are connected to the internet and start up the game.