Here is the code i used:

Code:
level_load("levelname.hmp");
	wait(2);
	ent_createlayer("yourTexture1+6.bmp",SKY | CUBE | VISIBLE,0);


important: The File must have a name like "1+6" at the end,
otherwise it wont work.
The 6 means that the texture has six sides.
So you CANNOT include any pic you want as a sky picture,
the picture has to have a size of:
height : x
width : x * 6

for example, if the height of your texture is 100,
then you have a total width of 600, and every 100x100
part of your texture is meant for a different part:
front , back, left , right , up , and downside.

there are other configuration options as well,
but i only know these.

Another thing is: The Format should be considered -
bitmap should always work, and if bitmap works,
you can try other graphic formats, i've testet it,
and on some formats it looked weird.

Hope i could help you !