Actually it does illuminate the scene, which is the reason they are used; and you do not need the image to appear as a background (at least in MAYA which is what I use).

here is a simple scene illuminated only by an hdr image mapped to a sphere (actually it's only half a sphere), and it is used for the lighting and reflections. There are no other lights in this scene, it is strictly illuminated by the hdr image.  I set the image to not be visible in the render as a background, only visible in the reflections.

here's two other links explaning High Dynamic Range Imaging or Image (not illumination)

http://www.highpoly3d.com/writer/tutorials/hdri/hdri.htm

http://en.wikipedia.org/wiki/HDRI