it's a mandatory install which is done on first run, there's no option to do it, it's already done. Look at the top menu in the the Game column on the XMB (Game Data Utility), you will see a Skyrim item which is taking around 4GB. This is the installed data.
You can try to delete it, and let the game reinstall the files.
Just test it, we don't know, it could help. But I don't have a lot of faith in that :/