Creating HDR images with Adobe Lightroom is rather easy.  You'll need to start of with at least 3 exposures of the same photo.  You can do this by setting up your camera to take a bracketed shot.  On my Canon 5D MKII, you set the exposure compensation by selecting it with the joystick, then use the wheel on top right of the camera (near the shutter button) and turn it to the left.  I set mine for about 1 stop lower and higher than midrange.  Then use the joystick on the back of the camera to select the shutter options (single, multiple or timers).  Select the multiple shutter option.  When you take photos (until you shut it off) you can hold down the shutter and it'll take 3 shots with 3 different exposures using the bracketed settings you selected for exposure compensation.  Here's an example of what that will be like:

When you have taken your 3 exposures of the same photo, import them into lightroom.  Select them (cmd + click on a Mac) then right click on the thumbnail of one of the selected images, select 'Photo Merge' then select 'HDR'.  From there you select the intensity you wish to use, I used the highest setting and clicked 'Merge' after that.  Here's the output of the 3 exposures as an HDR composite:

Not too shabby!
Photos Copyright Mike Swartz - Swartzwerk Photography
Taken at Sleeping Lady Resort, Leavenworth, WA