White light from the sun passes through air fairly well, but there is a lot of air between here and the outer reaches of the atmosphere, and some of the light gets scattered. Scattering means that the light waves get their direction changed by the molecules and dust particles in the air. The thing is, all waves have something called wavelength, which is a measure of the distance between the crests of the waves.

The wavelength of red light is the longest, and blue light has the shortest wavelength, with orange, yellow, green, blue and indigo in between. The key to this answer is that short wavelengths scatter better from small things than long wavelengths do. If we have lots of tiny things floating about in the water or air, like the tiny dots of fat and protein in the milk or tiny dust particles in the air, the blue-ish light gets scattered quite a lot, but the red-ish light gets scattered less. Take a breather, I know this is a long answer....

Ready? here comes the punch line. Lots of white light sets out from the sun and passes through the atmosphere. The deeper it gets, the more of the blue light gets scattered away from its original path. By the time it reaches the ground the white light has gone a bit yellowish, the color of what we call 'sunlight'. The blue light just bounces about, getting scattered like crazy, and all we see, instead of the starry diamond skies we see a big blue haze, which we call the sky.

There are a couple of other things you might like to know about this. When the sun gets really low in the sky, the light has to go through much more air, which is why the sun looks bright red (never look at the sun directly unless it's very low, near to sunset - you could go blind).

Ever wondered why clouds are white? The droplets of water of which clouds are made are much bigger than the wavelength of red light, so it gets scattered just as much as the blue light does, so all of the white light scatters, not just the blue part.