Rex,
The two ways of doing this type of photos area s follows.

Take at least 3 shots in a row without moving the camera with three different exposure values. i.e. you would have an underexposed, a regular, and an overexposed version of the same picture. My camera and most DSLR's have whats called Auto-Bracketeing, which means that it automatically takes a three shot burst with a +/- 1,2,or 3 exposure value. Then using an HDR processing program, I use Photomtix, it merges the three exposures into one, then using the same program, you tonemap the image. I then go into Photoshop and adjust sharpness, hue, saturation and the like.
The other way is to take one photo in RAW format, and use photoshop to "create" the three exposres. But I dont know alot about that way.
Cheers,
Chad