Image-based lighting using EXR?

I have a nice image that I’d like for image-based-lighting in my UE4 scene, but I literally have no idea how to go about doing so.

It’s a spherical HDR map, exr format. I see objects like skylights, cubemaps, etc.

Any help would be really appreciated!

not sure is this is what your after, but on skylights you can expand the light section and use the drop down to change sls captured scene to sls specify cube map, that lets you to plug in a cube map you have imported.
i havnt tried this in ue4 yet but i use IBL in mental ray all the time, the skylight captures indirect lighting from your map or hdri i assume