At first, textures consisting of several parts normally can't be too big. So please make sure that the texture name is correct for a sky texture.

Second, check whether your 3D card really supports 4096x4096. You'll find the real limit in the caps viewer.

Third, do not use a >1024 texture at all except for animated or sky textures. Such a texture won't run on a normal PC, otherwise. And some ATI drivers can't display environment cubes bigger than 256x256 at all - see bug list.