Locate the infinitive. He wants to ski in the winter months.

Since it is used as a noun, determine its "noun" use.

The infinitive in the sentence is to ski.

And since it is used as a noun, here it has the function, or noun use of direct object.

He wants what? To ski.

The infinitive is to ski. It is a direct object. You may learn how to determine it all by reading this passage.

Noun infinitives can have with them direct objects, predicate nominatives, predicate adjectives or modifiers to form what is called a infinitive phrase. Example: To eat solid foods is hard for babies. "To eat" is the noun infinitive used as the subject of the verb is, and it has its own direct object "foods" with the adjective "solid," which together make up the infinitive phrase "to eat solid foods" serving as the subject of the sentence.