make sure you have a current updated version of the engine ( 6.40.5) which you can then create an 'infinate' level ( that has no level geometry, not even a skybox)

you can then use either a script defined skycube or an mdl sphere and then force the engine it to render to the background. though technicaly the level IS infinate, you will run into some mathmatic calculation issues once your x/y/z locational values start to exceed engine variable tolerances.

I don't recomend using this for any level with geometry/blocks, for that you should continue to use a skybox