When shooting a scene with lots of contrast, there is no way to capture all of the tones in the scene. If you preserve the shadow detail, the light areas will be thrust into pure white. If you preserve the detail in the light areas, the shadows and midtones will be pushed into total darkness. One solution is to mount the camera on a tripod and take a series of images at different exposures for the purpose of combining them with the help of specialized software.
This can be implemented in a number of ways. One way is to shoot in camera manual mode. Select an aperture appropriate for the scene. Change the shutter speed until the exposure meter indicates that you have a good exposure (the needle is in the middle of the scale). Take one shot here. For the next shot, do not change the aperture. Change the shutter speed to get a shot one stop underexposed. Repeat for 2 stops underexposed. Repeat for one stop overexposed. Complete the series with a shot at 2 stops overexposed. This 5 shot series will be used to create a High Dynamic Range Composite image that, if done correctly, can give you great highlight detail, great shadow detail, and a fair representation of what was seen with the naked eye.
An alternate technique is to use Automatic Exposure Bracketting. Most modern DSLRs offer at least some way to activate this feature. Typically you set the number of images to be included in the sequence, then set the number of stops apart each of the images will be. Set the camera for aperture priority and the camera will know to make changes to shutter speed to effect the changes in exposure.
Below are three examples of HDR using the software title from HDRSoft called Photomatics. You can download a fully functional trial of the software from their website. It is truly THE state of the art for doing HDR at this time. I hope you will give this technique a try.
The Photomatix software produces two types of image output. One is called a Blended Exposure or Exposure Fusion. THis technique simply preserves the best exposed areas of each image in the sequence and blends the component images to produce a beautiful and realistic-looking merged image. The other type of output is called Tone Mapping, and is truely a HDR image. Note in my results that the image is not exactly realistic ~ it has a certain surreal look to it. With this technique, you have lots of sliders and adjustments you can make that have an effect on the overall look of the final output. Read the tutorials on the Photomatics website for help in getting started.
Finally, it is highly recommended to shoot RAW images for creating HDRs. Use a sturdy tripod, cable or remote release, aperture priority, and have as little movement in the scene as possible. Good luck!