High Dynamic Range images are images which capture the whole dynamic range of a scene. It stores a set of exposures in one image creating depth to provide more information on light, shadows and materiality. To create HDR images, you will need to take 3 or more photos of the same scene in different exposure levels. This will capture the whole dynamic range of the scene in order to create the HDR image.
Below is a short video showing how to create an HDR image using photoshop CS3 (If you have CS2 this is basically the same in terms of its functions and settings).
You can also use a software called photomatix to create HDR images. Click here to view tutorial on HDR images using photomatix.
Check out Flickr to view some interesting HDR images created from photomatix and photoshop.