I tried to follow this question.
I've also tried to follow a number of older tutorials and posts, but my shading panel doesn't contain an Alpha option as mentioned in that answer.
World I don't see a commonly referred to "Paper Sky", "Blend Sky", and "Real Sky" option, which causes me to lose context in most tutorials.
You can see below that I got the picture in, but it doesn't get rendered, and I can't find a tutorial or Q&A answer that seems to match the settings I see in Blender 2.78. So either things have changed or I've broken things beyond recognition (the later seems quite plausible). :)
Also, I'm rendering this in the game engine if that matters.