The skewer is the "axle" of the wheel. It holds the wheel hub in the dropouts. A bent skewer can make the wheel rotate unevenly.
Flip the quick-release lever to loosen the skewer. If you're simply removing the wheel to fix a flat or change a tire, this is all you need to do. You don't need to pull the skewer completely out; just loosen it enough that the tire can be pulled from the drop-outs.
Now continue unscrewing the cap until it releases from the threads on the skewer.
Note that the springs fit on the skewer with the WIDE ends aiming outward, towards the cap and quick-release.
Many high-performance bikes have a Thru-Axle. This is a large wide cylinder that gives greater stability. But the method of removal varies with the type. If your wheel attachment isn't a simple skewer, you'll need to research how to remove it.