HDRI won't render preview

Hi,
today I started with the 3D Fluff for Cinema 4D training dvd's. Very nice series and pretty easy to follow. For the first tutorial they provide some HDRI images to create a glassy look with. The problem is that the HDRI environment (created within the glass texture) won't render.
I'm pretty sure that I do the exact same thing as explained in the tutorial and I tried it several time. It won't work.
Does anyone have a clue about my issue? Is it maybe a render setting? Or is it my videocard (nVidia 8600 GT)?
Thanks in advance!