Horizon Colour (?)

Usually to get horizon colour to work I just change the settings to whatever colour I would like. Today I tried and nothing happened. Have I forgotten something very basic?

All I have done is put it on Game Engine and changed the horizon colour to blue.
Example.blend (.4 mb)
I should get a blue background, but I get the regular grey background;
http://www.pasteall.org/pic/show.php?id=32691
Have I forgotten something really basic? Thank you. If further info is needed, just ask.

Change from Solid to Textured viewport shading

facepalms :o