I found a fantastic tutorial for HDR (High Dynamic Range) at Photoshop Cafe that shows step by step how to apply it to your photographs. It’s important to note that bracketing (taking three pictures of the same scene at three different exposure settings) can make HDR much easier than trying to obtain it from one image alone. (FYI, Single frame HDR is called Pseudo-HDR).
The tutorial will show you how to go from these three images:
Now I have to admit, that I don’t personally believe the image used shows off HDR to its full effect, but the tutorial for Photoshop is very simple to follow and that makes it worth a look!