A new panel will open to create the preset, scroll down to Files, and load the images for the EZDome.  You can load a JPG or HDR image to the inner dome but the outer dome should receive the HDRi.  The preview image is just a thumbnail.  Everything else is self-explanatory.  

                                                                                       

Other applications that I use to create the appropriate images for EZDome are sIBLedit and Easy2Convert HDR to JPG.  The application sIBLEdit is freeware and you can compose the necessary image maps for an sIBL from a single HDRi, this also includes a thumbnail.  Easy2Convert HDR to JPG is also freeware and as the name implies, it converts HDR images to JPG format, especially if you need a projection image for the inner dome.