The oldest known surviving skis are called the Kalskskidanvtra, they are wooden, made from pine trees that were growing along a hillside.
They have four holes in each of them for a cord to bind the skis onto the skiiers feet.
These skis have been dated to 3,200 BC, whereas the cave paintings mentioned in another response were dated 600 years after the Kalskskidanvtra.
The paintings were found in Norway, where long winters would have made it necessary for people trying to travel to come up with ways to get around in the snow more easily.