yosepp is right, look at help for the 'SET OBJECT' command.
creat a HUGE sphere and texture it with a nice sky texture, then use SET OBJECT on it
the CULL flag tells the object to show hidden surfaces. Usually when you are 'inside' an object, the insides are not textured by DB as they are not normally seen. CULL over-rides this.
Also play the LIGHT parameters to stop the sphere reacting to light sources. Sphere would look dark otherwise as it is far away.
The other trick is to move the sphere to your camera position during main game loop. This stops you approaching edge of sphere. Another nice effect is to rotate the sky slowly in game loop.
Gronda, Gronda