You have to have at least three bracketed shots in the form of 1 underexposed - metered exposure - 1 overexposed (actual stop variation is up to you). You then merge these three files using the Photoshop HDR plug-in (CS2 minimum).
I have tried it once and the result was quite good and should give you a final image that has detail in both the highlights and shadows.
here are some of my pics that are done using the HDR technique.
i used photomatix to generate the HDR image. and photoshop cs2 to do the post processing