A Skybox is a cube without the bottom side which contains the environment around a scene, for example the sky or distant mountains. The cube is viewed from inside and usually only the upper half of the cube is seen, so it is enough that the upper half of the cube sides is textured.
In CryENGINE three square textures are used to define the cube sides. One for the top cube face (using suffix _5 in the filename) and two textures which contain the images of the four side faces (using prefixes _12 and _34).
The following images show the required layout of the sky textures:
skybox_12.tif (front and right faces)
skybox_34.tif (back and left faces)
skybox_5.tif (the top face)
Resulting hemisphere layout (looking upward into the sky)
Final result should look like this (without the letters):
In order to use a skybox instead of the dynamic HDR sky, go to the Environment tab in Sandbox and select a material in the SkyBox section which uses the Sky shader (not SkyHDR, as this will use the dynamic HDR sky).
You can apply any of the three skybox textures to the diffuse texture slot of the material. Because this is a simple cube texture rendering, the majority of shader/material options will have no effect on the skybox rendered. Just 100% opacity and a diffuse texture is all that is needed.