.hdr files can be opened a.o. in Photoshop.
Keep in mind that HDR images are not intended to be viewed directly. If
you need a viewable or printable image, the HDR needs to be tone mapped.
This generates a regular jpeg or tiff file which can be viewed in most
imaging applications.
It's explained in the HDR tutorial:
http://www.ptgui.com/hdrtutorial.html
Joost