Basically, you have to make a shader for it and 6 jpg textures (up, down, left, right, front, and back) and a TGA image. I have tried, but have never been able to get it to work. Here is what the shader looks like for the most common sky:
The sky shader can be found in the scripts folder of Pak0.pk3 which you can open with winzip (change the pk3 to zip). The shader files are text files that you can open with wordpad. The texture jpg files are in the texture/sky folder of Pak2.pk3 or in the env folder of Pak1.pk3. I have know idea where that TGA image is because my computer can't find it in the game files I copied (maybe I deleted it).
i just skipped thru all the replies, so i dont know if anyones already said this. The sky textures, up, down etc are all in the env folder, and the files are in the same pak file as the textures.