This happened towards the end of Series 5.
Hank had just been killed; Walt was on the run and the police were trying to track him down; Skyler was under investigation by the police for suspected involvement with Walt's schemes.
But one night masked men (who we know to be Jack's men) managed to break into Skyler's home and threaten her.
The police witnessed an angry tirade over the phone from Walt to Skyler and were aware how dangerous he was. I believe we even see that Marie's house was protected by armed-guards at the time. So why did the police not protect Skyler's home? And, if they did, how did the break-in occur?