A "skybox" is a brush that encompases the map area covered in the "skybox" texture. This texture becomes invisible in-game, and from it, you see the sky. When using a light_enviornment, the light settings from that entity are emitted from the skybox, giving the play area within the skybox the look like night or day.
I'm not sure if there's a skybox tutorial somwhere in this site... I'll have a look around.
EDIT: no tuts for a plain, old Skybox :
Well, simply put: to make a skybox, make your map, then make a brush that covers the entire map. Hollow it out, and make all of the brushes' faces the "skybox" texture (type in "skybox" into the filter setting in the texture browser, it will be close to the bottom.). Compile and look at your pretty new sky. Just make sure that you have a light_enviornment, or no light will be emmitted from the skybox. If you dont like the sky texture, the enter the texture browser, type in "skybox" or "sky" and look for the textures that have names like "skybox/sky_day01_03rt". Find the one that you like, and write down its name. go to
map > map properties... > skybox texture name and put the skybox name
without the "skybox/" and "rt" or "sv" or what ever 2 letters are at the end of its name. it will look like "sky_day01_03"
Hope that helps yeh