Set you camera to AEB (auto exposure bracketing) I set 2 stops difference, some people prefere 1 stop difference.
Mount the camera on a tripod, set it to AV (so it alters the shutter rather than the apeture) on continious drive hold down the shutter button and it'll take the 3 pics and stop, I'd shoot in raw format as well to get the most out of it.
Now the HDR bit will depend on what software you use, personally I like photomatix, but some people find it complicated. Theres lots of different one, but generally you open the 3 raw pics in the hdr software and it combines them for you, it then creates a 32bit image which using the same software you tonemap, thats the bit where you choose whether you want the over the top look or subtle look.