For VSE(Video Sequence Editor):
1. Open blender and on the splash screen click video editing.
2. Press Ctrl+S or click File->Save and save your blend file.
3. Move mouse cursor over the VSE channels area(Sequence mode).
4. Press Shift+a->Image/sequence->Select your exr sequence and click add image strip or just press enter.
5. Go to output tab of the properties editor under the Output panel and configure to your needs. Such as render folder and video codec.
6. Press Ctrl+S or click File->Save
7. Press ctrl+F12 or click render->Render Animation
