Ryan McGinnis has written a very easy to follow step-by-step photoshop tutorial on how he creates his amazing HDR images using Photoshop CS2.
“First off, you need to take the photographs. Because you are attempting to create a high-dynamic-range image, it makes a very good deal of sense for you to set your camera so that it shoots your photographs in your camera’s RAW mode. The reason for this is that the RAW format captures more dynamic range data than is available in the alternative, the JPEG file…”
See also: Photoshop Tutorials