One of the easiest selection tools to use is the magic wand tool (if you can't see it, it may be hidden under the selection tool ). This tool selects areas that have roughly the same colour. Look at the options for this tool:

You may be assuming that will be clicking on the statue with this tool in order to try to select it but it is actually better to try to select the sky for the sky has a very even colour and is therefore very easy to select with this tool. Once the sky is selected it will be easy to inverse the selection so that everything but the sky is selected.

First turn on 'contiguous' (so that we can be sure that we won't select the king's skirt by clicking the sky) hen turn off 'anti-alias', and finally set the tolerance to a small value such as 5. Now try clicking the sky - you will probably find that only a small part of the sky is selected (the edges of the selected area are marked by shimmering 'marching ants'). Then deselect with Ctrl-D or Selections > Select None, set the tolerance to a high value such as 140 (the maximum is 200) and click the sky again. Now you will probably find that in addition to the sky a part of the statue is also selected. Deselect again, set the tolerance to an intermediate value such as 70 and click the sky once more. Now you will probably be pleased by the result, except that only half the sky is selected because we chose to select a contiguous area and the sky in this picture is NOT contiguous - it is broken by the statue's cobra head-dress. To add to the existing selection, hold down the Shift key while you click the other half of the sky (notice the small + sign next to the pointer). Actually, if you look closely, you'll see there are a couple of other areas to be added to your sky selection, between the branches of the palm tree.

Once all the sky is selected you can invert the selection with Selections > Invert. Now only the statue and the palm tree are selected. Experiment with the curves control (Adjust > Brightness and Contrast > Curves) to lighten the statue, without overdoing it. Note that if all you want to do is lighten or darken the picture overall then using Adjust > Brightness and Contrast > Curves and dragging the centre of the curve up or down is equivalent to choosing Adjust > Brightness and Contrast > Gamma with red, green and blue linked together. You may also want to make the colours a little more intense by choosing Adjust > Hue and Saturation > Hue/Saturation/Lightness and then using the saturation slider (the 'saturation' of the colours is a measure of how intense they are). Save your work when you are finished.