I see that you're using CS6. Open up an EXR file and slap an 'Exposure' correction layer onto it. Leave the Exposure and Offset sliders alone and play with the Gamma slider: this should give some idea of why you'd want to use HDR images. Then try using all the sliders in combination to get an idea of how powerful this could be (and what a pain it is to use).

I use HDR images a fair amount for solving challenging imaging problems, but hardly ever for Poser renders. To be truly useful, the source material has to be created - i.e. at the capture / scanning / rendering stage - with a High Dynamic Range workflow in mind.

For most image editing purposes EXR (and HDR) is hopeless, there are loads of Photoshop features that don't work with these formats. 

EXR is quite expensive (in terms of memory footprint, additional steps in your workflow) as a way of avoiding the hassle of going through the 'Export Image...' routine. Consider setting up a keyboard shortcut for doing that in one step. Or use the D3D FireFly render script, which lets you automatically save your render to a pre-defined location and file name.

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