Well, a cube map is (sry) a ‘cube’ + ‘map’. Each side of a texture is assigned to a side of the cube. Now, you sure can load the entire image, but then next, what would you do with it?
It is. But (usually) not just exactly like this. You can wrap a texture around a cube (or asign sides) but usually this texture will be divided in 6 faces (generally all horizontally or with a sheet). It would of course still be possible to straight use your download skybox image (ignoring some of the faces). But it would certainly be cleaner to create a new texture (with 1 line of 6 sides or 2 lines of 3)
May be simply check out this link. I’m sure you’ll find your answer in there:
I believe the link for this free skybox is not hdr and he might not have the tools or will to edit it (or else, he would have easily cropped it to turn it into a regular skybox tex)? However @Myrmod, you might know (or not) that there are online free tools to convert your textures to hdr and even to equirectangular. You can just make a search in google (i cannot really list’em here since this is no place for advertising side apps;) Let us know if you still need more help…