A Few Nooby Questions About HDRI And Yafray

What’s the deal with this stuff?

I’ve seen some hell good renders with Yafray using HDRI lighting (I assume this is the same as High Dynamic Range). What does the I stand for?

I’ve seen the Yafray option when you select what renderer to use in Blender (alongside internal), but I also know you can download Yafray at a few sites. Do you need to download that stuff? An also, when you do it says you need to do coding and stuff to change features, and I don’t even know where to get started.

When I try to render just by changing the option in Blender to Yafray, and hit render, the render screen comes up but nothing happens, maybe because I need to wait.

My final question is how can I set up Yafray and try some HDRI lighting, or is it totally out of my leage even if I did set it up?

All this has been answered a million times.
use google and the forum search options.
For Yafray and HDRI go to the tut on the wiki.