What you're looking for is a skybox. I think there is already a skybox by default, but I might be wrong. Try holding down Ctrl and scrolling your mouse wheel down.
If it doesn't appear, make sure your texture set has one set. First you need to know which terrain set you're using. Maybe you're using Char or some urban tileset or whatever.
Open the data editor, open the Texture Terrain Set object type and go to your texture terrain set(with the same name as your texture set). You can set the skybox in the Background Model (Fixed) field.
Ghan has said he has fixed this. Monovertex please confirm this fix. This was only a problem with people that had signatures in the upper levels like not the special members but the respected members.