A skybox is a collection of 6 textures that create a sky around the camera.
Turning the camera around will make the skybox turn as well. The skybox is infinitely far from the camera, so moving the camera closer or further has no effect.
The 6 textures correspond to top, bottom, left, right, front and back. If the Skybox doesn’t look correct, try swapping some of the images, or flipping them 180 degrees.