[VIDEO TUTORIAL] Creating High Resolution Space Scapes

After importing cubemap you need to change its lod or compression setting to nomipmaps. It is somewhere in texture properties, long dropdown list.
All you need to do in 3ds is creating geosphere (one with big triangles is better, uses fewer faces than standard for same quality), you do not even need to uv map it.

Yes that dds cubemap is huge, for small game this texture will be like 50% of data. Mine is around 90mb. Better way is with procedural sky and blueprints. But it takes so much more time to learn and make.

PS. i used similar UV mapping technique for texturing planets, this removes problem of stretched polar regions.