Thanks! The tip did work, but has a limitation if one has played with "EV" or other settings. Seems to reset them to default values - in my case the cxr, converted to exr and then open with photoshop resulted in blownout beauty pass.
Anyway, thanks once again - it was a time saver tip.
Would like also to apologize about the question. Have resumed a file inside 3ds max before updating Corona3 to Corona4 and then saved it as exr.
Swtiching between Vray and Corona just left me with wrong impression that even the Image Editor gives You the option to save a single exr file.