Yeah, there are different skies. You need to go up to the top of the window and hit map>>map properties. From there, click on the skybox texture name field and you type in the name of your sky.
The sky list is here at
http://developer.valvesoftware.com/wiki/Sky_ListTheres even reccommendations for what your light_environments settings should be, to fit the lighting of the sky. If you wanted the first sky with a picture down the page, you would post in the Skybox Texture Name field "sky_borealis01".. then it will be in your map. Huzzah