Create panel > Lights > Standard > Skylight button
Create menu > Lights > Skylight
The Skylight light models daylight. It is meant for use with the Light Tracer. You can set the color of the sky or assign it a map. The sky is modeled as a dome above the scene.
When you render with the default scanline renderer, Skylight works best with advanced lighting: either the Light Tracer, or radiosity.
Warning: When you render with the mental ray renderer, objects illuminated by a Skylight appear dark unless you turn on Final Gathering. The toggle for Final Gathering is on the Final Gather rollout of the Render Scene dialog.
Tip: There are several ways to model daylight in 3ds Max, but if you use the Light Tracer, a Skylight often gives the best results.
Tip: If you encounter visual anomalies when rendering a bump-mapped material with a Skylight, convert the material to an Advanced Lighting Override material and then reduce the Indirect Light Bump Scale value.
If you use a map with a Skylight, the following guidelines can improve its effect:
Make sure that the mapping coordinates are spherical or cylindrical.
For light tracing, make sure you use sufficient samples. A good rule of thumb is to use at least 1,000 samples: set Initial Sample Spacing to 8x8 or 4x4, and increase the value of Filter Size to 2.0.
Use an image-processing application to blur the map before you use it. With a blurred map, you can use fewer samples to obtain good results. When used with Skylight, a blurred map will still render well.
Be aware that using sufficient samples with a mapped Skylight will take longer to render than if the light were not mapped.
If you use Render Elements to output the lighting element of a skylight in a scene using either radiosity or the light tracer, you cannot separate the direct, indirect, and shadow channels of the light. All three elements of the skylight lighting are output to the Indirect Light channel.

On—Turns the light on and off. When On is on, shading and rendering use the light to illuminate the scene. When off, the light is not used in shading or rendering. Default=on.
Multiplier—Amplifies the power of the light by a positive or negative amount. For example, if you set the multiplier to 2, the light will be twice as bright. Default=1.0.
Using this parameter to increase intensity can cause colors to appear "burned out." It can also generate colors not usable in videos. In general, leave Multiplier set to its default of 1.0 except for special effects and special cases.
Use Scene Environment—Colors the light using the environment set up on the Environment panel.
This setting has no effect unless light tracing is active.
Sky Color—Click the color swatch to display a Color Selector and choose a tint for the Skylight.

Map controls—These let you use a map to affect Skylight color. The button assigns a map, the toggle sets whether the map is active, and the spinner sets the percentage of the map to use (when the value is less than 100%, map colors are mixed with the Sky Color).
Tip: For best results, use an HDR File for illumination.
Note: If the renderer is not set to Default Scanline, or if the Light Tracer is active, these controls are disabled.
Cast Shadows—Causes the skylight to cast shadows. Default=off.
Note: The Cast Shadows toggle has no effect when using radiosity or the light tracer.
Note: Skylight objects will not cast shadows in an ActiveShade rendering.
Rays per Sample—The number of rays used to calculate skylight falling on a given point in the scene. For animation, you should set this to a high value to eliminate flickering. A value of around 30 should eliminate flickering.
Ray Bias—The closest distance at which objects can cast shadows on a given point in the scene. Setting this value to 0 can cause the point to cast shadows upon itself, and setting it to a large value can prevent objects close to a point from casting shadows on the point.