Here’s a thread that came up ealier that might interest you:
Give the 2.0 spec a good looking over (page 51). The rub on texture coordinate generation is in there. Once you understand how it works, the rest is straightforward math. The trick is to take the reflections–which, by design and default are in eye-space–and move them into world-space, where your cubemap is.
If you’re having trouble with the math, here’s a free book on linear algebra–well worth the investment of time.