here is the scene, whatever you do, dont zoom out too much otherwise you will render the HDRI sphere. Always zoom in till you dont see it anymore. Because it is about the inside of the sphere.
http://www.2shared.com/file/m9wT7ZK-/Test_Scene.html
To create the fog is so easy, remember you can change the color of the fog to, depending on your scene and also even change the clouds in the scene i uploaded above.
Just go to atmosphere in the material room:
And there you will have fog. It is a simple but fun trick.