As G60 mentioned you do need a camera in the scene and be viewing through the camera to see the actual HDR, if you are viewing outside of the camera view rendered then it will show up as a various mix of shade from the HDR environment image. If you need to place the HDR to a specific section you can simply go into the node editor and (Input) Texture coordinate, then add a (Vector) Mapping, hook the texture coordinate generated into the vector of the mapping node, then plug the vector from the mapping node into the HDR texture image. From there you can split windows and have a rendered view (through the camera) and the other window you can adjust with the mapping node the rotation of the HDR.
As lkariShinji beat me to it this is a shot of just selecting perspective view (pay no attention to the nodes as they are not needed to view through perspective and see the HDR)
I imagine this is what you were seeing when you tried using the HDR (in my case just a green blend of color) That is what happens when you are viewing in orthographic and outside of the camera.
This one is what it looks like inside camera view orthographic. And in this view you can set the nodes up and adjust the x,y,z location of the HDR to where you are wanting it positioned for the camera view.