EXR files are HDR (High Dynamic Range) image files in the so-called OpenEXR format. This open format published by ILM (Industrial Light & Magic) in 2003 is mainly used in the computer graphics industry. It supports multi-layer images, 16 and 32 bit color depth per pixel as well as different compression types.
Various programs require a plugin depending on their version in order to process EXR files correctly. The free OpenEXR, an official Adobe OpenEXR plugin and the fnord ProEXR plugin are available.