PRO-Studio HDR Lighting System - help!

I just bought PRO-Studio HDR Lighting System. I can't get anything to work. All of the presets are loading in the lights menu of the smart content widow, but when I double click them nothing happens and no lights are loaded into the scene. Is there some kind of trick I'm missing?
Comments
I think they are render settings, loading a new HDR into the Environment paramater in Render Settings, rather than lights as such. Check that (Render Settings pane>Editor Tab>Environment group). You may need to turn off the Auto Hedlamp (under the general group in Render Settings) before rendering.
@mlolya, @Richard Haseltine
They are HDRIs, not physical lights. Double clicking loads them into the Environment Map for the render settings.
Go ahead and render a scene with just a Pro Studio HDRI and you will see the results.