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You will get your first skill early on (after leveling a few times), and will need to equip it from the Blue chest in the shop. Skills use your RP (Rhythm Points - the game's version of mana), and that will need to be replenished with the blue music note items. You also get all your RP back when you level up, so it's a good idea to use the skill a few times and drain your RP right before you level up for a few free uses.