I just looked at your profile and see you are using a point-n-shoot.
Is it capable of shooting raw format?
What is your lens diameter and do they make nd filters to fit.
Is it compatible with the Cokin system?

You can get a Cokin adaptor and two or three nd filters for (guessing) about 50 bucks.
Do you already have photomatix? If you don't buy it and use the trial version all your finished products will have the photomatix logo on the finished image. This isn't necessarily bad as if you get good results, you can decide to buy it and lose the logos. HDR can be accomplished in some editing programs but I've never heard anyone say the results are better and its a lot more work.

If you can shoot raw and choose to try hdr, make sure you use a tripod or other stabilizing tool and get at least 3 shots, at least one of which is exposed for the brightest area so you get the detail in that bright area. If you don't get a shot with detail in those bright areas, no amount of tone mapping will bring it out.
If you cannot shoot in raw format, I'd forget trying hdr. Not even sure if hdr can be accomplished with jpeg but you won't have as much info to work with.
Not sure what blown highlights you'll be trying to avoid but if you have clear or partly cloudy skies, a polarizer would serve better.
If you go with nd filters, you'll want graduated split nd filters.
All this kind of stuff, I learned here but sometimes I find out I don't know what I'm talking about so if anyone disagrees, please chime in.