A simple search on Google brings up hundreds of pages of information on HDR images and how to achieve them.
Unless your camera has auto bracketing, then you will have to shoot in RAW and adjust the exposure manually (this is NOT the best way).
In a nutshell, you take between 3 or 9 images, shot at different exposures and piece them together. The camera needs to be mounted on a tripod and can not be moved between exposures, this is why you need bracketing.
I am not going to say any more, just use your brain and Google it.
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