go look in your base/data/skies and choose a sky.Once you've chosen one go to mission editor and top right corner select sky or skybox i dont remember what its called but something with sky in it.
After you selected it press f3, go down and click on media.Then put in the base/data/sky/*whateveryouchose*/resource.dml.
Then go up and hit apply.Most of the time its called resource.dml but might be something else.