Simply you need to add some meshlights. First of all, model the lights and move them in the scene where you want the light to be. Give the lights the same amount of "Emit" value since you will edit the gain later for each meshlight. Then export the scene and edit the .xml file manually: the problem is to balance the exr map light and the meshlight "gain". I suggest you tu use the Linear tonemapping, so in this way you have total control on the scene exposure. When tweaking, you should ask you what part in the scene is predominant: the map or the lights? Depending on the answer you should start editing the gain of one or the other in the xml file until the exposure is satisfactory to you; then edit the other stuff gain to match the desired result.
I'm here if you need some other explanations
P.S. I've recently rendered an image (not really the best image here

) with exr map and meshlights in the scene, look in Finished artwork section, the name is "Loft".