Blender's internal renderer (2.40) doesn't support IBL (Image Based Lighting) even though it can load HDR files. So for this one, we'll use YafRay. YafRay doesn't come bundled with Blender, you have to download and install that yourself. For this tutorial, I used 0.0.8-2, which you can download here.
First of all, you'll need an HDR image. There is a whole range at http://debevec.org/Probes/ that you can download for free. I will use the Uffizi Gallery probe, but any other HDR image will do just fine.
To apply the HDRI environment to your scene:
- Go to the shading settings (press F5) and click the World button.
- In the "Texture and Input" tab, click "Add New" and "Angmap".
- Then go to the "Map To" tab and deactivate "Blend" and activate "Hori".
- Now go to the Texture settings (press F6) and change the "Texture Type" to "Image".
- Click the "Load Image" button and locate your HDR image.
- To be able to render using this environment, you need to enable YafRay. Press F10 and change the "Blender Internal" to "YafRay".
- Go to the YafRay tab and deactivate the XML button and set Exp (the exposure control) to 1.5.
- Set the Raydepth to 6.
- In the YafRay GI tab, select "Full" as your method, and "Low" quality (that's good enough for a preview). Also enable the "Cache" button.
- Set both Depth and CDepth to 10.
- For caustic effects you can activate the "Photons" button.