just make walls with the "sky" texture where the sky should be in the map. the "sky" textuire is included in the halflife.wad in the valve folder. youll see just a blue block in the editor when you made a sky but it will be rendered with the sky ingame.
Well, it's your first, so you can't expect anything too spectacular. http://collective.valve-erc.com/index.php?doc=1037472496-69804100
This page has all of the default Half-Life sky images, and it tells you how to change to one of them.
There are more in the esf/gfx/env folder, but I'm not sure what name to use to switch to those.