I'll give you some hints:
1. Use a tripod or something else completely steady.
2. Take 4-56 pictures using a variety of shutter speeds from almost dark to too bright. (Adjusting aperture only works also). Please use the snow, sun, landscape, action, firework, and beach settings etc. if you are using a camera that cannot manually adjust
3. Make sure tripod is completely steady.
4. Import pictures and put all the HDR pictures in a folder on the desktop
5 Merge pics in Photoshop using automate>merge>HDR
Step-By-Step HDR Instruction
In the instructions above they suggest you change your shutter speed (I have successfully created HDR merges with aperture adjustment). I will recommend you try both. You CAN take HDR pictures using a point and shoot camera. Instead of adjusting the aperture you can try different settings for each picture like Beach, Snow, Clouds, and Sun etc.
Each of these pictures is actually three pictures combined, each with a different aperture setting.