A Skysphere is a sphere object that is large enough to encompass your world.
A typical peice of code would be
SET CAMERA RANGE 0, 32, 100000
LOAD IMAGE "SKY.BMP", 1
MAKE OBJECT SPHERE 1, 50000
SET OBJECT CULL 1, 0
SET OBJECT AMBIENT 1,0
TEXTURE OBJECT 1, 1
REPEAT
CONTROL CAMERA USING ARROWKEYS 0, 10, 2
POSITION OBJECT 1, CAMERA POSITION X(0), CAMERA POSITION Y(0), CAMERA POSITION Z(0)
SYNC
UNTIL ESCAPEKEY()
The general idea is that as your camera moves, so does the sphere, to give the impression that the sky never moves, only rotates as the camera rotates.