Welcome to the forums!
To use your own scripts, you first have to learn how to write in the FPI language. You can learn this by reading the FPSC Official Community Guide by nickydude. Here's the link:
http://www.madladdesigns.co.uk/fpsc/guide/ocfpscguide.pdf
To change the skybox, open FPS Creator, then click "File," then "Build Game." Once you've opened up that window, navigate to the "Level Settings" tab. On the line that reads "Global Script," click "Edit." Another box should pop up. In this box, near the top, look for the option "Sky." Click on the box with three dots on this line, and select any sky from the folders. To preview this, select a sky and click "Open." At the bottom of the box, select "Preview" and you'll see a rendering of your skybox.
Good luck, and have fun with FPSC.

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