Typical skybox made of 6 textures
See: Mapping
Skyboxes are Shaders, that are made to look like the sky or like the landsape. They are put on the enges of the map to make it feel less square and give it a feel of depth.
Although compleatly square the skybox usually consists of 6 testures (sky, bottom and 4 sides) which are rendered by the shader to look like if having depth. They behave like ordinary brushes- player who meet the skybox brush will feel it like an invisible wall having the impression there is a whole landscape in front of him.
Although made of 6 simple brushes the shader will render the skybox so that the player will feel the depth