It's not a case of missing texture files, or there would be a grey box where the sky should be.
To temporarily fix the problem, type "gl_clear 1" into the console - this will give you a black sky.
If you want a longer-term fix, is there any information you could give us about your graphics card? (go to start menu, type "dxdiag" in the search box and press enter to get some information on it)