How to Add an HDRI Skybox in Blender
A skybox is used to light a scene using an environment map as a texture.

Adding the HDRI Map to the Scene
Start by changing the Shader Type to World.
Add an Environment Texture node and connect it to the Background node. Click the Open button and select your HDRI.
Changing the Rotation of the HDRI
To change the rotation of the HDRI, add a Mapping node and connect it to the Environment Texture node. Add a Texture Coordinate node and connect its Generated output to the Vector input of the Mapping node. Change the value of the Rotation Z value.