HDRI stands for high dynamic range image. It's an image format, just like JPEG, but with more information in it. While JPEG contains information about color (RGB values), the HDRI format contains information about luminosity, which makes it a good tool to be used as a light source.
Right inside modo's library, you can see a lot of HDRI images (in the Environment
folder). Just select one and drag it into your scene. You can use whichever image you want (as long as it is in the HDRI format). There are a lot of sites across the Internet where you can find good quality HDRI images. I recommend you to take a look at http://hdrmaps.com/freebies.
Normally, we will use a plain color or maybe a range of colors from the Environment Material item to generate a general shading. By using HDRI images, we will get way better and richer shading and toning in our images, especially in exterior shots. For this very reason, a VFX supervisor will take a panoramic...