Odd, I use CS5. I thought Merge to HDR was in CS3 as well...
If you can't figure it out, you can 'fake' HDR with the "HDR toning" using a single exposure.
It's in..uh, image>Adjustments>HDR toning, I believe. It's cheating but...works exactly the same way as the Merge to HDR option. I've even done it actually merging images to HDR, then using the same normal exposed image in the toning and there's no difference I can see.