Just take a look at one of the default skyboxes like Sky_Blue2.
It has all of the files for the sky.
A thumb file. This will be used for the icon for the skybox in the environment GUI.
A dml file. This is a plain text file with the names of the files used for the sky. Each file name has it's on line.
And a .atmosphere file. This is a plain text file that contains all of the info for fog distance, sun location, sun flare, light color, vignette stuff, etc.
