What Nancy means is this... To render a whole scene for use as an HDR (I belive 5.5 & higher) set the render settings to Panoramic View. Then save the render as HDR. If you just want a vue sky as a source. Click File..-> Export Sky. In the export box, tick Export Sky.Change geometry to UV Sphere. Click Browse to Change file type to HDR. In both instances.. If you want the scene for use as a background, then render big. If you just want to use it as a source for the lighting, then rendering small is fine. For reflection maps, some say you should render to medium high size. Though as most reflections in a scene tended to be blurred, it could be argued you don't always need it big.

Pinky - you left the lens cap of your mind on again.