Well, this is not a real and true HDR ... in order to create a true one, I would have needed to take at least 3 different photos (camera must not move from its spot, so using the autobracketing function helps) with three different exposure times - one would overexpose by say one stop, one would be the "middle exposure" and one would underexpose by about one stop (can be one-and-a-half or two, as well).
Later you would merge these three exposures into one photo, which definitely increases your dynamic range in a way the camera could never capture it in one photo alone.
What I did here (back when I played around with the technique just a little): I opened the ONE RAW-file I had created and changed the exposure values in the RAW converter from about 1 1/2 stops too little (underexposed) to about 1 1/2 spots too much (overexposed), saved the three files I created as 16-bit TIFF file, and had a programme called Photomatix merge these three files into one for me.
In a second step in Photomatix I tonemapped the result some more (that sort of fine-tuning is essential), and I might even (don't remember, it's been too long ago) have further worked on the results in Photoshop some more.
So, you see: when you shoot RAW, and you have a programme that does the merging for you (more modern Photoshop versions can do the same, too, but I need Photomatix for it as my version is too old), it is not difficult.