Worm234, has made some excellent tutorials on how to use HDR software like photomatix and lightroom for getting a HDR image.
The whole process starts with making different exposures and for that part I present you 7 tips:
Tip 1a: Always use a tripod
Tip 1b: Handheld shots can work, but be sure to frame them as similarly as possible.
Tib 2a: For making different exposures: do change the shuttertime, not the aperture.
(the aperture influences the depth of field, that can have negative influence on the final result)
Tip 2b: If your camera has an autobracket feauture: use it.
Tip 3a: Suggested starting point is to make 5 exposures: -4,-2,0,2,4 EV.
Tip 3b: The darkest exposure should have no pixels at 255 (i.e. as underexposed as can be), while the lightest exposure should likewise be totally overexposed.
Tip 4: Higher contrast images should have a greater exposure range (more frames, bigger exposure difference).
Tip 5: A subject without moving elements like a car (or even windy outdoor images) work best.
Tip 6: If you have a remote or a timer on your camera: use them, because you greatly reduce the risk of camera movement.
Tip 7: For postprocessing the images to a HDR read this
tutorial.