i think i wrote most of that tutorial. i actually wrote it up wit images and such to make it easier to read, but i dont know whatever happend to that, i dont seem to have a copy anymore.
rendering skyboxes in max is fairly easy.you need to make 6 cameras, each with a 90 degree fov. they should all be in the same location and pointing along the principal axes in both directions. build a scene around it. when your done set up a batch render and render the scene from each camera. best way to do this is to create your first camera at 0,0,0 pointing along +y with up pointing to +z (keep in mind z and y are reversed in max, fs uses z for forward and y for vertical). clone this camera as a copy and rotate it 90 degrees around z, do this 2 more times untill all for directions are done (it helps to name them so you know which is front). your up and down cameras should just be copies of your front camera rotated + and - 90 degrees around the x (as in pitch) axis. you can link em together if you want to move them or rotate them as a system.
to make a skybox model all you really need to do is start with a large cube, flip the normals, apply a uvw map modifier, set mode to box, click fit. then assign the skybox textures you rendered to each side. you may need to rotate the images 90 degrees or flip/mirror them in an image editor if things dont line up correctly. of course if youre using a template scene with cameras and rendering already setup, it pays to change the uv mapping of the model to work with the way cameras are setup, that way you can use the pof on every scene you render with that camera setup, just change the textures.
space scenes are rendered fairly well in max and newer versions of truespace. but if you want to do terrain based skyboxes you could try bryce (version 5.5 is free and i think it comes in pc and mac versions), which is specially designed for that kinda thing. i think terragen can do it too but i never could understand that proggie.