You can use your progresion points for training and stat points. As the previous posters pointed out you need money and progresion point to train.
Works like this... Start with a skill of zero, Kill rats with bare hands, gain progresion points, loot corpses of rats, sell rat pelts and eyes to blacksmith for money, find a trainer, train skill till training bar is filled, go back fight with the weapon that goes with the skill you trained, when your skill increases to level 1 then you can train more.
If you train a stat skill you will gain a stat point after training and using several progresion points per one point gain in the stat.