you need to create 6 files, .tga format, and name them with corrosponding xxxxxlt, xxxxrt, xxxxxdn, xxxxxxup, xxxxxxft, xxxxxxbk. xxxxx is the sky name and the lt, rt, dn, up, ft, and bk represent left, right, down, up, front, and back to the game engine.
Place all 6 files in your gfx/env folder. In "Map Properties" (under the header "Map" in Hammer) is a key called environment map (cl_skyname). Select it and enter the name of your texture, minus the lt - bk stuff... i.e. MySkylt, MySkyrt, MySkydn, MySkyup, MySkyft, MySkybk would be the textures you place in the mod/gfx/env folder and MySky is the name you place in the "environment map" block in Hammer.
There are certain requirements for the .tga file format, like 24 bit only and an absolute size (256x256 I think). Also, the pics should line up like you unfolded a cube. You'll have to see the tuts for that stuff.