Creating a true HDRI map involves using an HDR studio type of program. Several exposure-bracketed photographs need to be combined using special software. To produce spherical projections either a special camera is used or a stitching program is used.
nXt now has a facility to "convert" a normal RGB bitmap image to an HDRI format-- this is only an approximation and requires some lighting information from the user. It does seem to work OK, though. The tool is available under the Widgets menu.