Having read up a little on this subject I think it depends on whether you require an outside scene or something simple like stars all around i.e. in space.
For the space version I'd agree with Philip and create a sphere and just apply a texture to it directly from within DB. This with a position object to your main character/ship/camera postion will make the sphere "move" with you i.e. you'll never goes through the sphere. The only thing I will add is that in order for this to work you need to create the sphere so that the texture may be seen from within it which is not it's default state using set object cull. Like this...
load image "stars.bmp", 1
skysphere = 1
rem the skysphere
make object sphere skysphere, 10000
texture object skysphere, 1
set object cull skysphere, 0
set camera range 1, 10000
do
position object skysphere, camera position x(), camera position y(), camera position z()
...
sync
loop
I got all this info from doing a forum search on "skysphere" or "skybox".
The other option is the skybox which again I found by using the forum search. Basically the idea is similar but you create six distinct textures, one for each of the sides of the box and have an actual model that you can load straight in at runtime. I've not done this (as my game is set in space) so I'm not sure about the technicalities or doing it but as I've said do a search on skybox and you'll find the info.
HTH
Andy