HDR photographs are achieved through taking multiple exposures of the same scene in quick succession. Using different exposure compensation values between shots exposes some more, and others less.
 

left to right: +-0EV, -2EV, +2EV

Each exposure will ‘highlight’ different areas of the scene, enabling some clever techniques to be used. My program of choice is Photomatix Pro 4, and then Photoshop, to get the photos come up looking like they do.  

Final HDR Image

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