make sure u have the correct setting like raytracing, final gather ect.

make sure u r using a hdri map rather than a jpeg (get it from the link they provide)

make sure ur gear is the correct side of the ground plane
use the directions in the bottom right hand corner so that Y points upwards an ur gear is that side of the floor plane

what material r u assigning to the gear - use a blinn or dgs(uner mental ray nodes) - lamberts wont work

if this doent work post up the file an i will have a look