There are a number of ways of doing HDR (High Dynamic Range) photographs. There are some good programs out there that make creating HDR photos very easy. Photomatix is one program that has gotten a lot of good reviews recently. With their software and a few shots you can get that shot that was very difficult until recently.
Actually the last line is only half true. Photomatix does make it a very easy to create HDR images but its not the only way. I’ve been creating HDR images with Photoshop for a few years by using layers. Starting with either, a few shots bracketed or a single raw shot processed to different exposures. I open the shots in Photoshop. Starting with the shot with the most amount of image the way I want I copy the other images to layers on the first image. Next I add hide all layer masks to each of the layers except for the background layer. Finally I select the layer mask of the different layers and grab the eraser tool, set the size to the size of the detail I want and change the opacity to some where below 100% (even as low as single digit opacity). With the eraser tool I start erasing the portion of the mask I don’t want (which causes the portion of the layers that I’m working with to show through). This paints in the detail from the different layers on top of the background giving me the image I envisioned (saw) when took the shot. After this is all done and I have the image I want I usually add a curve layer for black and white points and adjust the midtones.