You must have a soul gem and know an enchantment. Here's a quick summary of how to enchant an item. I also cover more advanced topics like how you can boost the strength of your enhancements higher, and provides a full list of enchantments by weapon and armor types. This guide teaches the basics of Enchanting in Skyrim, such as how to enchant an item.
Skyrim's Enchanting skill allows you to place magical effects on your weapons and armor. Skyrim Enchanting Guide with Weapons and Armor Enchantment Lists