I am not sure I can help much. But did you actually install (./configure, make, make install) OpenEXR from http://www.openexr.com/index.html. If so, you must install IM afterwards.
If installed properly, you can
convert -list configure
and look at the line starting with DELEGATES to see if openexr shows. For example from my system:
DELEGATES bzlib fontconfig freetype jpeg jp2 lcms lqr openexr png tiff x11 xml zlib
Also note, to my knowledge, IM only supports the 16-bit floating-point format, called "half".