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.