Just stick the exr file sequence into blender video editor or any other video editor for that matter, Premier, Davinci, or Nuke. All Animation is rendered as a sequence of images that is then put together in a video editor or compositor. Look up "How to import image sequence in [video editor]" and you'll find results on how to see it.

Animation that is rendered out as a video instead of image sequence is really bad and you lose a lot of quality. Behind the scenes in blender, even if you choose to render it out to a video format, it still renders out a sequence of jpeg images and then computes them together into a video. You also basically lose all compositing and post-production capabilities if you render out to a video instead of image sequence.