Oh, ok. I had never seen it before. I'm not sure of the specifics on that, but I'm curious as to any practical application inside a game. Construct has extremely limited 3D support.
What I would suggest is you look into some parallaxing effects to create a cool star field. You could generate space objects randomly and even look into adding some distortion effects when your player approaches certain objects (black hole, whatever).
Btw are you Drule from GW?
EDIT: Oh, sorry, I misread. I see you only want to use it for a menu. Cool idea. I've never created a skybox before, but your best bet might be finding some and opening them up in Photoshop to see what they look like and how they wrap.
As far as placing buttons and such inside the skybox.. hmm.. I'm not sure. You might just be able to play them on a layer over it and pan accordingly, but that might not achieve your desired effect. Have you tried opening the .cap of that demo? It might provide some more insight.