oh and theres plenty of guides out there, just go with one which you find easy to follow... here's one which was the first in a google search for 'hdr with cs3 guide?'.... but as i say there are plenty to choose from if you dont like this one.
yea making different versions of the same shot won't work in ps... when it says "there is not enough dynamic range in these photos to contruct a useful HDR" it is saying that becuase the images aren't from seperate exposures it can't increase the dynamic range. (you may be able to edit the shots to loose the exif data and trick PS but its not worth it)
So, there a few things you can do... one is to re-shoot, use a tripod and get say 3 exposures of the subject changing the exposure each time. So you end up with one correct exposure, one over and one under.
Bring the shots into ps and dont alter them in any way (if your shooting raw make sure they dont get the auro correct treatment) and save as tiffs. Then PS will recognise them as usable HDR images.
The other way is to download Photomatix (or similar) and just use the free to try version (you'll get watermarkes but its good for practice). This will give you more noticable HDR results, and you can try it with the 2 or 3 versions you made in PS, but this is not true HDR and will only give you a certain amount of dynamic range to play with.
For the strongest HDR results and to create the almost 'cartoon' look use the shooting method i suggested above and use Photomatix set to the strongest settings.
I should really sticky one of these threads.... if anyone wants to add links etc do so here and i'll stick it.
you can take one pic, do levels adjsutments and save to make 3 different pics, then open in phomatrix and it will ask the exposure difference, say what one is 0 and one 2 and the other -2
then it will generate an hdr out of it.
not as good as a real hdr.. but better then what you can ususally do in PS adjustment wise.