The directory structure is already made in the archive. You can see that by yourself. So, yes, you have just to unzip the content of the archive in ./addons/amxmodx/. You have nothing to do more than that. Module, like any others modules is autoloaded as needed.
I don't know how works the skybox so I can't help really. You mean rotate, by changing the sky after t time by another without restarting ?