heres how you do it:
Make a box outside of the level (but that you already understand)
put some nice star textures on the walls of the box and make the box textures unlit (texture properties)
nou add a sheet in the middle of the box that is the same size as the box. texture the sheet with some clouds, and make it transparant select u pan in the texture properties to make it move
Put in that skyzone thing under the sheet in the middle, and add a lite under the sheet to reflect the clouds.
Now, in the level itself select all textures you want to use your skybox on (sky) and select fake backdrop.
Rebuild....
That should make a simple skybox for ya...
Just play around with some lights in there and see what it does.
You can also open up another level that contains a skybox and look how they've done it.
Hope you can use this....
