Hi Tim.
After testing how the OpenEXR plugin works I found that it's much much simpler to render the layers to separate image sequences using PNG/TIFF files.
But, if you prefer OpenEXR be aware that Blender has two different flavors of it. If you select the reender to use OpenEXR the resulting files will only have one layer. If you use the "Multilayer" output format then you will have an OpenEXR file with all the layers that you have selected in the "Render Layers" tab.
Remember that you have to explicitly name the render file and to give them the ".exr" extension because the Multilayer option doesn't do that for you.
--
Paolo Ciccone
Pret-A-3D
http://www.preta3d.com
http://www.paolociccone.com