High Dynamic Range means producing several different exposures of the same scene, maybe 0.5 or 1 stops apart, and then combining them in software such as Photomatix.
The essentials are that the lighting should stay the same, the aperture should stay the same and the shots should line up perfectly, so a tripod is needed.
Here's an example that shows how the immense variation from dark shadows to bright highlights can be brought into one shot:
Ripon Cathedral, Pentax K10D, SMC Pentax-DA 12-24mm lens, 5 exposures 0.5 stops apart