Download the trial at the bottom of the page, either for mac or windows. Unzip, open the Photoshop folder, and in the 32bit or 64bit folder (depending on whether you work with 32 bit Photoline or the 64bit version) there are
two plugins: ProEXR EZ.8bi (the free version supporting only one layer) and ProEXR.8bi (commercial trial version).
Copy either one or both to the PL plugin folder, and reboot Photoline. A new entry is added to the file menu: OpenEXR.
That's it. Supposedly holding down the shift key while loading an EXR file opens up an import settings dialog, but that only results in a blank file. In addition, exporting to an EXR is unsupported in Photoline, because the output format does not show up in the save as file types. Nor does the ProEXR export layers as EXR show up in the export menu
At least we can import single layer exr files now in Photoline - but it would be brilliant if Photoline integrated this format, since the 3d/compositing/video industries rely quite a lot on this format for float images, and Photoline's support for 16/32bit is great - a bit of a no-brainer to raise interest in Photoline. OpenEXR was invented with these type of images in mind as an exchange format. And the source code is available at the OpenEXR website - ready to be integrated in Photoline. (hint hint)