thats a pic i took with a canon 40d with a 70-200L lens with wb on auto. what camera are you using?

Get an example pic up for us so we know a little better of what your trying to explain.

reason the sky is light is because you will be using a mixture of longer shutter speed/higher iso/lower f number so you are letting alot of light into the camera (hard to know unless you show us an example with the exif data).

basically you need to let less light in if they are too bright for your liking however that means if for example you were taking a picture of a building with the sky in the background the sky will be how you want but the building will be darker/not seen unless you fill it in with flashes or merge 2 shots together.

the yellowy/orange will be the white balance as i assume you are near street lights you can either set the camera to custom white balance and use a picture where its orangy or shoot in raw and fix it in photoshop.

The orange/yellowish is due to White Balance issues, I think?

The reason the sky is lighter is because you'll probably be using a low shutter speed, so it lets more light in, and increases the brightness of the sky.

erm, I'm sure someone better will help out, but have a play on A (aperature) or S (shutter speed) settings and see which you prefer.

I didn't read any books or get advice when I started, just went with trial and error, found that was the best way to learn and find my way around the camera

Either that, or just photoshop the sky to make it darker :|

Basically im taking pics at night time at certain locations and when i look back at the photo the night sky isnt as dark as it really is and its either orange or yellowish, which im guessing is light from behind the source or general light pollution, is there anyway i can redude the brightness of the sky at night and actually make it darker. Which setting would that be? ISO?

Cheer Guys