Typically, when a photographer wants to take an HDR image they will use a tripod to insure there is no movement whatsoever. (I sometime hand the camera to one of my children and ask them to clean their room, which also guarantees no movement whatsoever.) Then the photographer takes somewhere between 3 and 20 exposures of the scene, each one at a different setting so that he ends up with a series of pictures ranging from very dark to very light.
Next, he combines these images using special software (Photoshop has this built in but I think third-party software does a better job. I use Photomatix Pro). The software reads the images and attempts to create one image in which every area contains the correct exposure. (This is my understanding, I didn't right the software).
A trick that I like to use from time to time is to fake an HDR image from only one image. I simply take the original image and save it multiple times, each time adjusting the exposure setting in RAW so that I end up with several images that are -2, -1, 0, +1, +2, etc. Then, I run them through Photomatix and see what I get.
Here's the original image straight from the camera:
... and here's the final image after a fake HDR and some minor retouching:
Quite a difference!