As mentioned you need to decide what the photograph and photograph just that. The exposures vary greatly from:
Sun at ISO200 1/2000th f/6.3 with a Solarfilter cutting out 99.995% of light :
https://secure.flickr.com/photos/10090242@N03/7343820368/in/photostream
Moon at ISO200 1/150th f/6.3 :
https://secure.flickr.com/photos/10090242@N03/7343820552/in/photostream
Wide field at ISO 800 25 minutes f/6.3 :
https://secure.flickr.com/photos/10090242@N03/5671796150/in/photostream
Deep Sky objects at ISO1600 40 minutes f/6.3 :
https://secure.flickr.com/photos/10090242@N03/7371100386/in/photostream
This is beyond the realm of any kind of HDR.
You need to pick what you want to shoot and then focus on that. The Moon is an easy target as it is quite bright, but other objects are significantly harder. But you can capture nebula and similar things with a standard SLR all you need is some form of control and technique. The skys the limit with regards to how to do things but here's a few tips in increasing difficulty:
1. Shooting the moon you need a tripod and the right settings on your camera. Set the camera to manual and experiment.
2. Shooting other objects you need at the very least a tripod. You also need some kind of remote trigger, preferably an intervalometer so you can set the camera to take repeated shots. With a camera on a tripod you can up the ISO of the camera. You'll get noise but we'll fix that later. Take repeated shots with shutter speeds short enough so that stars don't start trailing. Then you take the resulting files and stack them in a program like Deep Sky Stacker to create a 32bit file with low noise. Processing will then bring out the various details you are after. The shot above of the milky way was shot on a tripod.
3. The next step is to replace the tripod with a motorised equatorial mount. This will allow the camera to track the sky allowing you to drop the ISO and increase the exposure time exposing even more fantastic night time objects hidden from normal view.
From here you start getting more and more serious:
Telescope: Why settle for 105mm when you can get a 1135mm f/6.3

Autoguider: A little camera + mini telescope which you point at a star. A computer tracks the star and sends a corrective signal to the motorised equatorial mount to keep it locked on the star even if it isn't aligned properly or your gears aren't perfectly round (which they never are).
Dedicated imaging camera: Even an average D4 has nothing on the sensors used for astrophotography. $5k should get you a lovely little monochrome camera with 16bit ADCs a peltier cooler to keep the sensor at a chilled -20degC a heater on the front to prevent dew forming, etc.
Dedicated software: because Photoshop doesn't work well with 32bit images, and doesn't do deconvolution and other things that form the lifeblood of astrophotography.
I did say the sky is the limit
But don't get disheartened. There's a world of wonders available with a simple DSLR. Here's a shot of Eta Carina that someone took with a Pentax and a 135mm lens:
Eta Carina with 135mm lens - IceInSpace