The "sky" texture needs to be applied to all sides of a brush. Don't make an entire cube of "sky" texture. Here's an example of an outdoor area. Picture a street. One end is a dead end into a wood fence with crates piled up high. A building is on each side of the street and each building has doors and windows accessible to their respective insides. The other end of the street is a tunnel into a cliff face that you can't enter. The cliff wall with the tunnel reaches up to the SKY. The buildings reach up to the SKY. The wood fence actually touches a horizon, which is SKY, and that SKY brush reaches up to touch the SKY. They all reach up to a block that caps off your map, and it's textured with SKY. If you can picture this, only the top brush holding your map together is SKY, along with one brush, between the buildings, that is also SKY.
Or you could make a hole for a window and place a brush in that hole, like a glass, except you texutre it (all sides) with SKY. In your game, it will have the sky you designated.
To find the sky texture, you should add the halflife.wad to Hammer. Then "browse" the textures and filter (at the bottom) with the word sky. It will be, as RabidMonkey says, a sky blue colored texture.
Your map needs to have a light_environment or a light_spot that has it's "is sky" set to yes. If you use the light_environment, the light will come from all around you... if you use the light_spot, you can adjust the angle of the "sunlight" so that it looks like sunset.
Hope all this helps.