First of all it is very useful to have your scene set up in real world units. This is necessary in order to rebuild the real lighting environment. Everything of the render engine (VRay in this tutorial) is using real world scaling to mimic real world conditions.
Doing High Dynamic Range renderings just needs one light source: the HDR file. The light we have to use is the VrayDomeLight, which guarantees nice lighting, shadows and caustics.