You need to have the effects and lighting set to very high (I think, it works for me) and then go change r_HDRRendering in system.cfg from 0 to 2 or 7 (recommended). See http://www.tweakguides.com/Farcry_9.html for this and other info.
Yes, this is what I ended up doing, it wouldnt work no matter what I did. It was enabled, everything was on very high, but it didnt do squat. This patch fixed it, its kinda buggy though. HDR is beautiful though, def the best i've seen