If I follow your steps using XNA Game Studio 3.0 it works like a charm. When I get to step 9, I am able to select Skybox Processor.
However, if I follow your steps using XNA Game Studio 3.1 then step 9 is just as you described. So I then try to compile and I am greeted with the following error:
Assembly SkyboxPipeline was built with a reference to Microsoft.Xna.Framework with an incorrect version 126.96.36.199 when version 188.8.131.52 was expected.
I'm wanting you to try 3 things total:
1. Do your steps above (you don't have to copy the assemblies to the /bin/x86/debug folder as they will get moved them by the compiler). Make sure you start with an XNA Game Studio 3.0 Windows Game project and not a 3.1.
2. Copy the Chapter18 folder from the CD and open the /Chapter18/AIDemo/AIDemo.sln file and compile and run that. Confirm that Skybox Processor is in the list for the skybox2.tga file.
3. This one is more complex: To get it working in 3.1 do the following:
A. Open Chapter 8's SkyboxPipeline solution. Remove the references to the following 3.0 assemblies:
Now, re-add those same assemblies, but make sure you select the 3.1 versions.
Compile the solution.
Now do your steps above making sure you create an XNA Game Studio 3.1 Windows Game project.
For number 6, copy the newly created skyboxpipeline.dll and copy it the newly created project folder. Add a reference in the Content project to this newly compiled assembly.
Let me know if those three taks are successful. Let me know if I need to clarify anything.