One way to change sky color:
Make a selection of the sky by your method of choice. I copied the Red channel to make an alpha channel and loaded as a selection.
Then load a Hue/saturation adjustment layer. I cleaned up the layer mask that was created by the selection with levels and black brush. Then try various hues and Layer blending modes.
Some blending modes work better to smooth the color transitions into the darker foreground objects, while others have more effect on the new sky color.

forum discussion: http://forums.dpreview.com/forums/read.asp?forum=1006&message=26266775