A
sky box is the background behind your level. This background
typically consists of clouds, blue sky, a halo ring, and anything
else that is not part of the scenario geometry. Sky boxes are
attached to the player, so objects in them are very distant and
large scale.
In
3ds Max, create a submaterial named "+sky" and apply it to an
appropriate surface in the level. Instead of drawing the face, the
game will show the sky box through that surface.