skybox already there in assets folder.
lets see it
click on camera . and try to add component > type skybox at search and you will find skybox there and add it .
i did it at unity 5 . so it should work like charm
click here >> http://docs.unity3d.com/Manual/class-Skybox.html and click in open in unity button
it will open unity and download it .
and import it . that it is .