Just rewriting a normal image file to .hdr file format doesn't make an HDRI. That is called an LDRI. 
If you want the final image to have the High Dynamic qualities of an HDRI, you have to composite varying exposure levels, simple as that. http://debevec.org/
Might seem like nitpicking; but if you need the High Dynamic information, an LDRI isn't going to cut the mustard.

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Opera Guy, I have never seen a render like that from MR. Not saying it can't be done, just never seen it before. Seems to me like you'd be better off with the scaline renderer than fussing w/ mental ray. The scanliner is quicker too, as long as you don't activate either of the advanced lighting solutions.

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