After many file naming mistakes, I believe I finally named everything properly, but got a full-page error which I took a screenshot of.

Up until now, I kept getting a simple "cannot find: 'X' " error, because I wasn't pointing it in the right direction.

I'm initially thinking this has something to do with what size images are compatible with the World Editor.

I made my skybox in TerraGen at 960x960 in size. I know that other terrain sizes have to be a multiple of 2, but am not sure if it's even at all related to my problem. It's just a far-flung, uneducated hunch, on my part.

I followed the wiki on exporting from Terragen and importing using the asset importer and hand-changing some of the code. I end up with the error window you see below.

Any thoughts/help/suggestions?

For the skybox you need to have four texture files one for each cardinal point and then you need an asset file and a skybox.material files
you should be able to look at mv_yelo_skybox for reference.
more than likely you need to have it be a power of two
(I would not use anything other than a dds file which requires a power of two as the skybox is very render intensive)

Only four textures, not five?

Sorry you are correct there is a top texture. Not sure how I missed that.

You can just open the texture in gimp or photoshop and scale the size to be 1024x1024 that should fix your problem.