Easy as pie, but you need to give more informations in your questions so I can help you better, if you are using PV 2010 my answer will make no sense.
First, find a scene that you want to use (search for HDRI), here are some studio HDRI's: http://zbyg.deviantart.com/art/HDRi-Pack-1-97402522.
Go to the rendering tab then to the Scenes, Lights and Cameras; then right click on Environment and Edit Scene.
Click on Browse and select the HDRI you downloaded earlier.
A better way is choosing the folder you have your own HDRI's in it, then they will appear with the ones that come with SolidWorks.