There are two ways of adding daylight to your scene:
1. Using 3ds Max's native daylight system:
Go to Create > Systems, pick Daylight and create it anywhere in your scene. In its settings set CoronaSun as Sunlight. Skylight setting does not need to be changed, as the default 3ds Max Skylight will be ignored by Corona anyway. Next, with the Daylight system selected, scroll down to Corona Sun rollout, and click "Add CoronaSky environment".
2. Using dedicated Corona sun and sky:
Go to Command Panel > Create > Lights > Corona, pick CoronaSun and create it anywhere. Next, simply select the Sun object and press "Add CoronaSky environment" in its settings, or go to Rendering > Environment and set a new CoronaSky map as your background environment map.
Note #1: in both cases, CoronaSky will be linked to CoronaSun so if you change CoronaSun's position, the sky will change accordingly.
Note #2: if you want to change CoronaSky's appearance manually, simply drag it from Environment slot into Material Editor as an Instance and change desired parameters.
Note #3: Corona Renderer uses physical sun and sky intensity, and the default camera exposure of 0 is intended for interior scenes. This means that after adding the sun and sky, your image may come out overexposed. To fix this, lower the Exposure (EV) value in the Corona VFB from the default 0 to about -2 to -4.
Note #4: if you set Corona Sun color to direct input - clouds will be colored based on the sun's color.