How to put the sky up?

I cant seem to make the skybox work.

I have selected one of the skybox options that come with the software however nothing happens if I click on it, also if I press play on the game I am developing.

I have already created the terrain first person movement, trees and water.

How do I put the skybox to work?

Thanks in advance.

 

Here you go .

http://unity3d.com/support/documentation/Components/class-Skybox.html

Dave

 

Edit - Render Setting - SkyBox Material

 

Thanks people, it helped.