I am working on a hat, and have made the band.
I just have to work out how to keep knitting. I have the band done, and it is on a set of circular needles ready to start knitting off of (to make the cap part of the band), the thing is the skein of yarn is not attached. How do I attach the yarn from the skein to the hat band to keep on knitting?

Depending on how thick the yarn is, you can just knit with both yarns for a few stitches, then drop the old one and keep knitting with the new one. You can just then weave in the ends when you're done. That's probably the easiest way.

You can also do a Russian Join, which is a little more involved, but looks tidier and leaves no ends to weave in. Scroll about half way down this page to see your options: http://www.knittinghelp.com/videos/knitting-tips

What I do is just start knitting with the new strand; after a couple sts I tie the ends loosely and a few rounds later rearrange the knot and either tie tighter or weave in the ends.

Thanks! I ended up just knotting it, and kept on knitting.