Dracula,
I'll try to help the best I can, but I'm a bit confused about your question on the sky box's collision; are you enabling collision for the sky box? You really shouldn't, as you don't need to.
I have to guess that you are using the built-in DBPro collision detection, such as SET OBJECT COLLISION ON 200 (since 200 is the object number of your sky box.) If so, just get rid of this command line. I can't think of a reason to run collision detection on the sky box, which brings me to the next question: Is your skybox "fixed" in place?
It sounds as if you are trying to see if your character (or anything else) is colliding with the sky box -- i.e. your character could walk into it. With a sky box (or sky sphere) you should set it to move with your character, within your DO LOOP, such as:
POSITION OBJECT 200, OBJECT POSITION X(1), OBJECT POSITION Y(1), OBJECT POSITION Z(1)
This will create a more realistic illusion of sky and distance.
Most people seem to prefer sky spheres over sky boxes, and I personally have not done a whole lot of experimenting with either one yet. You should do a search in this forum for related threads.
Lastly, why would you test for collision between the terrain and your character? If working properly, your character will always be "colliding" with the terrain -- otherwise, it would fall through (if you incorporated gravity) or walk through the terrain when a slope is encountered.
I hope this helped some. BTW, your screenie looks very good