Well Alex!
My news aren't really encouraging... I tried to use OpenEXR with OpenCV but it's not doing it's work. It says in the documentation that OpenCV 2.0 has OpenEXR support but...
I've searched the web to find some example of working EXR images in OpenCV but had no luck.
At this time I've developed myself a function to convert an image read with the OpenEXR libraries that uses Ilm::Rgba* structure to save the pixels of the image and convert it to char* that OpenCV uses with images. The IlpImage structure is the one I use. Actually I'm working with an example from OpenFrameworks and using they're Image structure...
It's a really early stage in my development because I had to start over...
I hope this can help you... but if you enter the world of OpenEXR it's a pretty dark world in terms of documentation, so all I can say is good luck!
Feel free to contact me and I'll see if I can help you!