HDR stands for High Dynamic Range. A simplified explanation is that you take a series of several photos at different exposures, and combine all of the information into a single image. By doing this, you are able to get a much broader range of light and tones in an image than you could with a single exposure.

Most people use a program called Photomatix Pro to combine the images but there are other programs out there that work as well.

The easiest way to get your images is to set your camera on a tripod, and set it to auto exposure bracketing. Once you have a series of exposures, you load them into an HDR program and let it combine all the information for you. Most programs will give you some control over the final look of the image.