For the technical explanation see Valou's posting above

I've not done much with this only messed about a few times experimenting.  But I'll offer my opinion anyway

First time I had heard of Photomatrix - if it is a PS plug in how can it be doing anything that can't be done in PS given a little time and patience?  Is the cost of it worth the time saving in learning how to do it with what you have for yourself ?

If you have CS2 the HDR does work and works well.  First thing to identify is a type of shot that would benefit from HDR. OK I'll give you an easy example to experiment with if you want to.  The example is taking a shot from right where you are now ! See told you it was easy ! Shoot toward a window from inside a room.  If you have ever done this you will know what will happen. Either the room will be dark and the view out the window will look great or the room will look great and the window will look like there's been a nuclear explosion outside.

So set your camera on a tripod and take the same shot again, this time though take at least 6 shots without moving the camera. Each shot you take you alter the shutter speed one stop at a time. What you want is shots from the room being very light and the window blown to the room looking black and the view out the window dark. Over do it ! - from very light in the room to very dark in the window. You must alter the exposure by altering the shutter speed only !!! The aperture has to stay the same on each shot of your DOF will vary.

OK got your shots !

Now blend them together using CS2 HDR .

It takes practise as valou said and a little experimenting. What you will end up with is a shot like you see in the house adverts. A beautiful room where you can see everything inside, but also a fantastic view out the window where you can see everything outside too.

And every one said, 'If we only live,
We too will go to sea in a Sieve,---
To the hills of the Chankly Bore!'
Far and few, far and few, Are the lands where the Jumblies live;
Their heads are green, and their hands are blue, And they went to sea in a Sieve.

Edward Lear
http://www.nonsenselit.org/Lear/ns/jumblies.html