First of all, thank you both. I did just as you suggested and the HDR shows in the viewport but in render is completely black now.
I had followed the FAQ but it didn't work when I added the HDR to the Diffusion of a standard Corona shader. Maybe this FAQ needs to be updated?
According to the FAQ:
How to add HDRI or custom-color environment?
Create a C4D Sky object, create a new standard Corona shader, load the HDRI bitmap into the diffuse channel of this shader (or set custom diffuse color), apply this material to the C4D Sky object.
Reading your responses got me to dig further there. Following the FAQ but removing the HDR file from diffusion and adding it to the Color texture instead got it to work.
I would still like to use the Corona Light material as this allows me to change the preview settings for the viewport also this seems to be the proper way to use HDR lighting according to you guys and what I have seen in the YouTube video.
Any help with just seeing the black render now that I used a normal C4D Sky and Corona Light Material applied to it?