My skyrim is of version 126.96.36.199. I would like to update it to the latest version. Should I download all the updates one by one or download the latest one?
Assuming you have a legitimate copy of Skyrim, there is no need to download anything manually. Updating is automatic; the exact method depends on your platform.
Consoles will prompt you to update when you start the game while connected to the internet. Saying yes will download and install all updates automatically.
On the PC, Steam will update games automatically. Right-click Skyrim in your library, click on updates and make sure it is set to "Always keep this game up to date" or "high priority".
If you have a non-Steam PC copy, it's because you pirated the game. In that case we can't help you.