Hey,
I initially struggled a lot getting EXR files from Houdini into Photoshop correctly (CS 6, Win here), neither the native importer nor the one from Otoy/Octane did work well.
Then the developer of a new one posted on the Lightwave forum and "Exr-IO" is working great, has some nifty features and it's free:
http://www.exr-io.com/features/
I had different problems with AfterEffects CS 5.5, which would not handle Houdini EXR correctly either (wrong image size), but later found out that proEXR is now free:
http://www.fnordware.com/ProEXR/
So both of those applications are back to working perfectly with EXR for me :-)
I hope this is useful for more people here... :-)
Cheers,
Tom