1. After freeing Red XIII, go inside his tank to get the first Enemy Skill Materia.
2. In Junon's upper areas, there is an area that you can go to called the Respectable Inn. If you go in the basement, you can find the second Enemy Skill Materia.
3. The third one is in a house in the Forgotten Capital.
4. It's in a hidden area surrounded by green grass that can only be accessible with the airship. There is a Chocobo; talk to it to get the last Enemy Skill Materia.
Here is the Enemy Skill guide:
http://www.fifthvoyager.net/finalfantasy7/enemyskill.html
Definitely get as many Enemy Skills as you can. I highly recommend Big Guard, White Wind, Aqualung, Trine, and Magic Hammer.
I would be surprised if you missed the 1st one because it's hard to miss. You might miss the 2nd to 4th ones if you don't explore the maps and the world enough.
EDIT: Oh! If you are gonna go for everything in the game, I recommend that you get Level 4 Suicide as well. There is an enemy that you want to use Morph on later and Level 4 Suicide makes Morphing it a lot easier.