Lots of tutorials online explain this topic. You could also look back through some posts on this board.
You may also need to tell us what host software you are using 3dsmax, maya, blender?
For 3dsmax, have a look at this HDRI dome tutorial: http://www.evermotion.org/tutorials/show/9029/tip-vray-dome-and-hdri
For your render settings, turin GI environment OFF. Set your workflow to irradiance map and light cache to start with.
Change your render filter to Vraylancoz instead of area. Thats just some settings I remember. Now you can setup Vray many different ways, so maybe someone else will share with you their workflow too.