A skybox is used in maps to give them a sky. The standard skybox consists of at least eight files; the four side textures, a top texture, a sky texture with a transparent circle over it, a square image of a color from the skybox, and a resource.dml, although other textures can be added like clouds.
Creation
The order in which the four side textures are ordered do not matter as long as they line up panoramically! In order for this to work though, you must rotate the top texture to line up correctly with the four side textures. This can be done in any standard image editing program.
Scripting
The resource.dml is what loads the skybox, and is referenced from the map's .mis file as:
new Sky(Sky) { materialList = "base/data/skies/sky_blue2/resource.dml"; };
With, of course, any other necessary sky script included.