You have to make a material using the picture to get it to work. For instance, this is the moon material.
material Sky/MoonMat
{
receive_shadows off
technique
{
pass
{
lighting off
depth_write off
scene_blend add
fog_override true
texture_unit
{
texture moon.PNG
}
}
}
}
Change the picture and name of the material to whatever you wish, then save it as a .material file in Notepad. Put that in media/sky or where ever you wish. Go to the sky maker, type the material name (Sky/MoonMat) in and you're done!