How do I use HDRI map with V-Ray to illuminate the scene?

Create vray light, chnage type to dome and use texture. 

Create A V-ray light then go to parameters > General >change to Dome> Select Texture slot Select v-ray HDRI > This texture click and drag to material editor slot as instance.

Click browse Select HDRI map.

mapping type spherical then start render

We can rotate this Background using Option Horizontal rotation.

to see how this background change > press or Go to Menu > Rendering > Environment  > Select and drag HDRI map as instance to environment

also enable this option Go to menu > views >View port Background > Environment Background then we can show environment  

Your scene more brighter reduce overall multiplier option 

you  want  increase HDRI light you can increase Rendering multiplier option