HDR (high dynamic range) is a method used to create a greater tonal range than you can with a single image.
Basically your camera can only record a certain amount of tone or light graduations when exposed correctly.
However if you take extra pictures exposing more for the dark areas and more for the light areas then merge the 3 images together, you increase your tonal range. giving more graduations and more detail in the image.
Here i explain how to do a true HDR rather than a phone or camera setting that emulates HDR from 1 image.
For this image i used 3 photo's , you will get more tonal range if you use 5 photo's, or even more if you use 7. each will give different effects.
Essentialy you need a tripod as you want to take 3 images of the same scene.
image 1 expose correctly
image 2 should be 1 stop over exposed
image 3 should be 1 stop under exposed
E.g. if your correct exposure is 60th sec at f/11,
1 stop over would be 30th sec at f/11
1 stop under would be 125th sec at f/11
Basically you are 'bracketing' check your camera you mave have the ability to set bracketing. if you do, set it to +1 and -1, it will then take 3 images of the same scene.
exposed correctly
+1 stop
-1 stop
Now open photoshop, im using cs6 so i presume any later versions will have the same feature.
click on file, then automate, then merge to HDR pro.
in the HDR menu browse and select your 3 images and ok it.
now you will have a window with the merged images. go to the top right presets and select a preset.
for this particular image i used the 'surrealistic' preset.
Once you are happy with your choice you can ok it and it will create your HDR in photoshop.
You can now do more editing or cropping in photoshop to tweak your image.
Here's another HDR. this is a good example of how you can use HDR to get that detailed sky AND the shadow detail of the foreground at the same time.
If you've not tried HDR give it a try, go out and experiment to get the feel of how it works. Different lit scenes react differently.
If any body needs any more help and advice i'm happy to help :-)