.exr is an [i]image[/i] file format.
The .exr image is projected on a environnement sphere around Your scene for light calculation (don't know exactly how)
For the second point, there is many tutorials/howto on the web ...
try [url]http://www.google.fr/search?hl=fr&q=how ... ogle&meta=[/url]
on google, for example.

But You can render an hdri through a render, or grab ton of on the web also.
Just take a look on the Blender site, there is a "ressources" section where You coul'd find some hdri ... er ... ressources !
