@Val;
To get the maximum benefit using these HDR programs, you will need to shoot several bracketed RAW shots of the same scene....ideally, +2.0EV, +1.0EV, 0, -1.0EV, -2.0EV...so, in total 5 shots bracketed around the ideal. Depending on the cam, some may let you bracket even more shots...ie 7 shots.
When you bracket;

1. You should NOT use auto focus, 
2. You should NOT shoot in shutter priority
3. You should NOT shoot in AUTO or any other SCENE mode
4. You SHOULD shoot in aperture priority
5. You SHOULD use a tripod
6. It will not work for moving objects/subjects

You can use a single RAW and then tone map but, the results are not the best.

If you use the manual method outlined by girsempa, you do not necessarily need PShop....but you will need a RAW editor/converter and then use your current photo editing program for curves/masks.

In youth, we learn....with age, we understand.