Here is the web page which lists the types of peptide search results that Skyline knows how to read, and which files you need:
https://skyline.ms/wiki/home/software/BiblioSpec/page.view?name=BlibBuild

That page says the for MaxQuant you would need the files: msms.txt, evidence.txt, mqpar.xml, modifications.xml
(I've never seen a "evidence.txt" file, so that file must not actually be required).

The way to get peptide search results into Skyline is by using the menu item:
File > Import > Peptide Search

There are many tutorials to help you get started with Skyline. If you are wanting to work with MaxQuant search results, it might be helpful to start with the DDA MS1 tutorial:
https://skyline.ms/wiki/home/software/Skyline/page.view?name=tutorial_dda_search

I am not sure I understand what you mean by "visualize the phospho spectrum". Skyline is a great tool for extracting chromatograms from all types of liquid chromatography mass spec data. Skyline is not a very good tool for looking at spectra. When we want to look at individual spectra in raw files, we often use "SeeMS.exe" which you can get if you install ProteoWizard.
https://proteowizard.sourceforge.io/download.html

Hope this helps,
-- Nick