Yeah, an HDRI is an image that is used to mimic environment lighting.
HDR images are stored as .hdr
Search on google.com for free hdri download
Once you have your .hdr image, go into render globals - mental ray - image based lighting and upload the .hdr image.
Then go to render globals- common - (at the bottom) use default lightin off.
Don't directly use an HDR probe as an image, it will make a gap. An hdr probe is a mirrored ball, taken images of with diferent exposure images and assembled into a single .hdr image. Since it is a ball, it will leave gaps.
To edit hdr probesso you can have a nice, 360 degree laid out image, do a google search for hdr shop.
Download hdr shop, and open yor hdr probe in it.
Then go into views (i think) and panorama- panoramic transformations-
Change it from mirrored ball on the right to latitude/longtitude and transform it. Then save it as a .hdr. Now you can apply that as an Image Based Lighting image, like described above.
But to use this, you have to have Final Gather turned on.
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