For some time I've been trying to "delete" the sky so the fog is like real fog (You can't see the sky when it's foggy in real), I've tried to make the sky textures simply white by simply using paint and a converter... it kinda works.. during the day the sky now has the same color as the fog wich has quite some atmosphere... but during the night th sky remains white.... so how do I make it black then?

What if you made the textures transparent instead of white? Then you could match the sky color to the fog color.

Sounds quite logical? But I'm a noob in the texture stuff area... do you know how I should do this?

I've read some stuff about it on the internet.. and it seems you need to get a transparent .dds file... But I've no clue how to make one... could someone pls help me?

Sure! You'll need an image program. Photoshop, if you have it. If not, the one I use is http://www.getpaint.net/ because it's easy to use and free.

Open up Photoshop/Paint.net and make a new document, 256x256 pixels. Select the whole document (in Paint.net this is under Edit > Select All) and erase it (the Delete key in Paint.net). Now, it's blank.

Use File > Save As..., select the file type as DDS, and save the document into the textures folder as each of the names below.
tx_sky_clear.dds
tx_sky_cloudy.dds
tx_sky_overcast.dds
tx_sky_foggy.dds

tx_sky_rainy.dds
tx_sky_stormy.dds
tx_sky_thunder.dds
tx_sky_ashstorm.dds
tx_sky_blight.dds

And if you want the Bloodmoon weather,
tx_BM_sky_blizzard.dds
tx_BM_sky_snow.dds

And if you want the night sky,
tx_stars.dds

That should replace all of the sky textures. I just tried it out, and it works well. If you use Wrye Mash, you could package them up so you can turn them on and off.