Did you call the sky by some code lines like in the manual, or did you assign it in WED?

http://www.conitec.net/beta/asky_cube.htm

ENTITY* mountain_cube =
{
type = "mountains+6.tga";
flags2 = SKY | CUBE | SHOW;
layer = 2;
z = 30; // move 30 pixels upwards
}