I would like to use the sky from this file for another project. I tried to use copy/paste and Append, but none of them worked. Do you know any solutions?
You can append the world settings from this file to yours.
To append type Shift + F1 or go to File --> Append. Navigate to where you saved this file, then click it, and then the world "subfolder". Select the item called "World" within.
Then go to your world settings in the Properties Windows --> World Tab, and choose the new world (Probably "World.001") from the dropdown menu.