Blender

You can use an hdri or the sun sky system and get same results. Let go of the hdri stuff and pay attention to the other points user is making. There is room for lighting that goes well beyond the hdri element. All hdri does is simulate natural light system as an environment light. You still have to dress up the scene with the necessary lights etc.

An hdri is an environnement High Dynamic Range Image, you can get a lighting as if your scene was happening outside. The sun in the image illuminates the scene, and the sky gives your shadow a nice blue hue.