Here's a link to a
post I wrote a while back, explaining HDR.
Myself, these days, since I prefer a naturalistic look to the exploding skies/supersaturated thing, I tend to use Enfuse instead of going the wholehog HDR/Photomatix route (also, I am cheap. I like open source software). No tedious mucking about with tonemapping.
The thing here is how the dynamic range has been compressed to what the display technology can handle: the mirrored panels on the entry way and shadow detail aren't lost in the black, as they are in the mid-range and underexposed frames, but the sky isn't blown out, as it is in the overexposed frame.
Three shots, bracketed at ±2EV, combined in
ImageFuser, with exposure, saturation, and contrast all set to the same value (no bias).