Hmm, this is probably the same thing jv_map said, but I thought I'd sum it up one more time. I've tried a few custom skies and so far I have them all working. This is what I have:
the 6 sky-images in "main/env", this is the actual sky,
the shader in "main/scripts", I just named it "sky-myskyname",
and (if you like), the little tga-file in "main/textures/sky" (the little 64x64 image you see in Mohradiant, just for editing),
in your shader:
textures/sky/myskyname
{
qer_editorimage textures/sky/your_radiant_image.tga
surfaceparm nolightmap
surfaceparm noimpact
surfaceparm sky
skyParms env/myskyname 512 -
}
All you really need is the 6 files in main/env and the shader in main/scripts, but then of course you must get rid of the "qer_editorimage .."-line in your

shader.