
HDR stands for High Dynamic Range, and allows you to create images that are more closely matched to what our eyes see.
The Digital camera can only see a fraction of the range that our eyes can see which is why you will take pictures from places where you can see all kinds of detail but when you look at the photo, the camera has lost detail or burnt out areas.
HDR images can be generated in 2 ways.
1) take a series of images on different shutter speeds in 1/3 stops either 3 or 5 photos
2) take one raw file and open it in an image manipulation program and change the exposure compensation to an equal measure
around 1.50 each way should do it, you should be able to see the details in the highlights on the negative compensated photo and details in the shadows on the positive compensated photo
you should end up with a set of images like these:
What you are aiming to do with the HDR program is in short, take the best bits from each picture
the sky from the underexposed image because this is a bit washed out in the original image
the shadow detail from the overexposed image because this is lost in the original image
You should then open these in a HDR program, i use PhotoMatix, this will allow you to open the 3 images and merge them into a hdr file,

this will look odd on the screen to start with, the next step is called Tone Mapping.

the trick with tone mapping is to tweek the levels to bring out the colours but dont overdo it. it should enhance the image so that it brings out the colours, shadows and highlights.
It should look natural, unless the very oversaturated look is what you are after, there are tutorials on the web explaining what each slider does and why. I will generally experiment until i get the correct level of detail that i want, or as near to and then open the image again in photoshop and merge the hdr with the original image until it looks right.
Lastly crop out the areas of the image that you dont need, on this one there is too much road at the bottom of the screen, that can all go.