Ok, this is not a step by step guide, but I think I can point you in the right direction.
Firstly to do this you WILL need to be using a tripod, and if you want to combine HDR images with objects in motion, forget it!
You need to set the DRIVE MODE to AE Bracketing. On the Nikon I believe you'll find this:
Menu > Custom Settings E2 > Auto Bracketing Set > AE Bracketing > set the desired number an variations you want to try.
You'll find a step by step guide on page 103 of your user handbook.
And just to look smug here, doing this in the Sony A700 is an absolute doddle (press drive button scroll down to BRK-EV (various presets or custom available, scroll across to select and done) you don't even need to take your eye away from the view finder!