Ever gone skiing? Ever watched skiing (you poor bastard)? Ever played Wii Sports? Ever get the secret path off of the first planet in Star Fox 64? If you answered 'Yes' to any of those, you'll see this is very similar concept. There will be numerous arches sticking out of the ground that you must 'ski' under.
There are two parts to the skiing level, when you first start it and once you free all the scarves and start skiing again. If you fall down the giant pit of death and don't get it, you will need to try again (it takes a few seconds to unlock, so give a little bit of time).