You can have the files in a folder if it's currently a work in progress or if you don't plan on giving it out, but you do need to put it into a ZIP file to upload it and share it around, but you can do that with Windows by just right clicking the folder, go to 'Send to' and click 'Compressed (zipped) folder'
To make the skybox, you need to have a folder named Sky_SkyName, with a .DML and .ATMOSPHERE file with the same name as the folder (minus the 'Sky_' prefix), and a 64x64 JPG image also with the same name, but with a '-thumb' suffix, this image will be the preview image of your skybox
To make the .DML and .ATMOSPHERE files, you can use Notepad and set the 'Save As Type' to 'All Files' and put .dml in the name of one file and .atmosphere in the other
Then you'll need 6 JPEG images that are 512x512 in pixels or bigger, these are the different sides of the skybox and are ordered like this in the .DML file
imageName_1 //FRONT
imageName_2 //RIGHT
imageName_3 //BACK
imageName_4 //LEFT
imageName_5 //TOP
imageName_6 //BOTTOM
The .ATMOSPHERE file looks a bit complex at first, but takes some messing with to get right, any parameters having to do with color use values of 0.0 to 1.0 which represent red, green, blue and alpha/brightness
$Sky::visibleDistance 900 //Max distance from player before the area fades into fog
$Sky::fogDistance 500 //How close or far away the fog is from the player
$Sky::fogColor 0.95 0.95 1.0 1.0
$Sky::sunational socialistmuth 250 //Sun rotation
$Sky::sunElevation 35 //Sun angle
$Sky::sunFlareColor 0.0 0.0 0.0 1.0
$Sky::sunFlareSize 1.0
$Sky::sunFlareTopTexture base/lighting/corona.png //Default primary texture
$Sky::sunFlareBottomTexture base/lighting/corona.png //Default secondary texture
$Sky::directLightColor 0.7 0.7 0.7 1.0
$Sky::ambientLightColor 0.4 0.4 0.3 1.0
$Sky::shadowColor 0.3 0.3 0.4 1.0
$Sky::vignetteMultiply 0 //Value of 0 or 1, blend mode of screen edge coloring
$Sky::vignetteColor 0 0 0 100 //Red, green, blue, and alpha values for screen edge color
$Sky::dayCycleEnabled 0
