Press “Initialize”. This will generate a HDRI environment, a reference image, and empties used to control the lights. (They’re a bit hard to see, by default, they start in the center of the image)
You can position and scale the image as you want. Do not un-parent the control empties from the image. Do not delete the image or the controllers. By default, neither the empties or the reference image will appear when you render.
Move the controllers wherever you want on the image. The angle, color, and brightness of the associated lamp will be adjusted automatically.
Notes
Unlike in Marmoset Toolbag, the brightness of the HDRI does not affect "Skylight Brightness".
The number of lights is soft-capped at 5. You can go above that by manually inputting a number.