Eranthis knows how
That's because weirdly enough, the skybox textures DoW uses has their textures INSIDE their model files and not directed to some other location. Mine is a modified exported sky with rearranged UVs and textures outside the model.
You can make a skybox by copying one of my skybox models, use a program called FFE to rename the texture names to new ones and then make those new textures using both of my texture maps as a reference.