Is HDR supposed to look like a neon sign? I see a lot of HDR here (have yet to try it), and a lot of them look like they're backlit. The colors seem a little too real. Oversaturated, maybe.
In my world (3D artist) an HDRI is made by combining multiple exposures into a single image of 32 bits containing the full spectrum of exposures in an image. Typically a chrome sphere is shot to help create accurate composites of rendered geometries. Also called a light plot. These special images are then used a reflection maps or even lighting solutions (image based lighting) in CG renderings.
Take 3 pictures of the same thing(a tripod will be needed). Take one picture with the correct exposure, and than take 2 more pictures of the same thing. One overexposed, and one underexposed...
Than download a program like photomatix from there you combine all three pictures into one picture, giving you the extreme highlights and shadows.
and awesome photo by the way. Very nice for your first.