This window can be accessed by going to the top menu bar and selecting World → Environment Editor → Day Presets → New preset or Edit Preset 1). The windows are almost the same, except that in Edit mode, you select an exiting preset to modify, while in Create mode, you supply a new name to use and start out with default values.
The day cycle editor allows you to completely change the normal day/night cycle skies. For various times of day, you may select skies of your choice from the supplied presets, or make your own skies with the sky editor. Note that others will not be able to see self-created skies unless you share them.