Instructions
Load UDK and start a new map or open an already existing one.
Open the Content Browser at the top of the screen and click on "All Assets."
Click on "Static Meshes" and type "Sky" in the search field. Select a sky mesh that you like and drag it on to the map field.
Switch to side view to get a better angle of the mesh and spread it over the map world.
Right-click on the skybox mesh to open its properties. Uncheck the follow options to ensure your skybox looks appropriate during gameplay: "Cast Shadows," "Cast Dynamic Shadows" and "Cast Static Shadows." Check the boxes for "Accept Lights" and "Accept Dynamic Lights" to turn those options on.
Click "Save" once you have completed your map.