Skyboxes are made up of 6 different sides(basically you’re in the middle of a cube). Assuming you are going to make the textures from scratch you in whatever program you use(paint.net, Microsoft paint, photoshop, etc) you want to make each side of the skybox. Each side(or image) is 256x256 pixels. Once you are done with all 6 images you can head into your studio, insert a sky object into the lighting and under the properties tab you will see each side and an area where you can insert the texture.
I haven’t made my own skybox in a while so if I made any mistakes feel free to correct me!