Not exactly a tutorial, but this is how I went about it (as posted earlier in this thread) . . . . . . . . . . .
Global Render Settings > Mental Ray (tab) > Environment > Physical Sun & Sky > Create
[Fellow Newbs: If you're not seeing the Mental Ray tab, you'll need to go to Window > Settings/Preferences > Plug-in Manager, then scroll down until you see "mayatomr.mll" and load it, then check back in your Global Render Settings and you should see Mental Ray as an option in the drop-down next to Render Using:]
Once you've created the MR sun and sky, the Hypershade window is handy for making tweeks.