After you download and extract the HDRI texture, start Blender and go to World Properties and click Color then select Environment Texture.
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Go to Shader Editor and switch to World Shader. Click Open on the Environment Texture node and browse for the downloaded ".exr" file and open it.
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Select Cycles as render engine and enable Viewport Shading: Rendered mode.
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If you enable "Node Wrangler" from Preferences > Add-ons you can use the shortcut "Ctrl + T" to add "Texture Coordinate" and "Mapping" nodes to rotate the HDRI. (use Z axis)
