Unlike regular textures that you must assign to materials in Blender, you will add the HDR texture to the color section of your world. Notice that you have a color selector that will let you set a color for the background. On the right side of that selector, you will see a small button with a circle in the middle.
Click on that button and choose Environment Texture from the options.
You will see something strange happening to your scene—it will turn completely pink. Blender uses this color to visually display an error when it can't find a particular texture.
Click on the Open button from the new options that will appear in the world settings and pick the HDR file. You will see the image as your background, ...
