An HDR image is simply an image that holds more colour information than the regular 255 RGB values commonly used. They allow a much greater range of intensity like, for example, the sun and shadow. Monitors are LDR which means the HDR image is compressed and adjusted so that the monitor can display it. HDR images are good for environment maps in Indigo because Indigo can be set to emit light from the environment map based each pixels intensity. This means a sun in the HDR image can be as bright as in real life, and thus cast shadows.
Indigo can read .EXR and .FLOAT file formats for HDR images.

Visit this thread on the forum for many good links for HDR images. HDR 2 EXR + some HDR sites