After the update to Lightroom 4.1 you can now open HDR file that have been converted in i.e Photomatix
Here is anLINK to the tutorial
made by Brian Matiash from OnOne software
If you don't have OnOne software just skip the part when he is done prepping the image in LR
But give OnOne a try. I find that using OnOne and LR is a perfect combination. CS6 is even less open now.


