Select Sky & Fog.Click on the Sky Options inverted triangle and select Custom Sky. Change the sky colour to black. Drag over the Haze picture and reduce the value to zero

Figure 1

The last two operations ensure that a starfield will render and not disappear when antialiasing.

Double click on the Sun trackball to bring up the Environmental Attributes dialogue box. See fig2.

Figure 2

Enter the three numbers shown for Numeric Sun Values, X,Y and Z. Be sure not to miss the negative signs. Also check Horizon Illusion, Use Moon Image and Starfield. Exit the dialogue box.

If you render now you will see a large moon above the horizon and a starfield surrounding it.

Use the values shown in Fig3 and values in between to position your moon in the sky.

Figure 3

Add a terrain, a water material to the ground plane, a cloud plane (NOT a sky preset), and a large sphere with a volumetric cloud material applied and you get something like Fig4. The cloud plane, placed high up will allow the stars to shine through. I always use spheres for volumetric clouds rather than those infinite slabs, the rendering time is reduced dramatically.

Figure 4

In Fig5 you can see the cloud plane and large sphere in wireframe.

Figure 5

Experiment with the size of the moon (intensity value) and the phase which is changed by checking Moon Phase and dragging over the moon image, there are those rings of ice crystals to play with as well.

You can also position the sun in the same way - just omit the negative signs.