This link says unity comes with some skyboxes and that they are located in menu: Assets > Import Package > Skyboxes.
When I go to import package, skyboxes is not there. Im pretty new to unity btw.
That tutorial was made for Unity 4.1. Since then Unity added support for dynamic skyboxes, and includes a default skybox that can change depending on the rotation of the directional light in your scene. I believe Unity stopped including other default skyboxes around that time (are they in one of the standard assets packages you can download? not sure). Unity still supports the other skybox types though. You should be able to find plenty to play with for free on the asset store.