It is not enough to simply add a sky from the browser to your scene. You also need an atmosphere.

After adding your sky go to the 'Instance' tab on the panel at the lower right and then select 'Scene'. Now go up to the top panel, still at the right, and select the 'Effects' tab. From this tab select the 'Atmosphere' option and then choose either 'Sky' or 'Realistic Sky'.

If this doesn't solve your problem I'll need more information.