The HDRI file needed for this scene can be found here:
http://www.hdrlabs.com/sibl/archive.html
Look under the HDR-VFX Promo Library and the end of the page.
Its the Hudson River.

Unzip all files to the same folder. When loading you may be asked to select the HDR file.
If needed, select the Scene in the Assembly room and double check that the HDRI is loaded in Effects/Background/HDRI/File: hdrvfx_nyany_1_n2_v101_Ref.hdr

I also recommend downloading all the HDRI.

License:
All sIBL-sets on this page, including the images within, are licensed under the Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

License details:
http://creativecommons.org/licenses/by-nc-sa/3.0/us/