This is a quick explanation of how HDR photography works, or the premise behind it if you will…
Take 3 or 5 photos at different exposures, each with a different level of dynamic range in each one, combine them all together to make a High Dynamic Range photo. Below shows each photo and the histogram associated with each photos. As you can see each exposure captures a different section of the histrogram.
Now take these photos and combine them together (using Photomatix Pro): and the result is an HDR image:
Here is the histogram associated with the HDR image:
This might be a little confusing to you. Why isn’t there data all across the board? Well let me explain. Since you have all the data available to you it is up to you how you edit it. This particular image is dark and has more blues so it is more on the left side of the spectrum. Just know that you have all the data available to you, so it is up to you where you want to focus the particular hue/brightness.
The level of post editing these photos takes much more time than actually shooting the images. How these photos come together is determined on the level of effect you apply to them. I explain this in more detail in this article: Detailed HDR Explanation