hwo a make a scence
http://stackoverflow.com/questions/5933399/how-to-draw-3d-background-in-games
http://vterrain.org/Atmosphere/
You can make a small skysphere or box, as suggested by Davido and turbovonce's link, which is centered around the viwer and fits into the frustum. You draw this first, without writing into the depth buffer. Then you draw the other stuff and as the skybox has not written to depth buffer it is just overwritten, except the parts where no scene objects are rendered, which are exactly the parts of the image where the sky should be visible.
Create a sphere in a 3d modeling app such as Maya or Blender and map a sky texture to the sphere. Export the model then load the model and its texture into the app, place in the scene. You should now have a background sky rendering in your game.