A tripod or some other form of solid camera support is more or less essential for HDR... as you will be combining 2 or more images to create the finished photo, you need the camera to be in the exact same spot, or your images won't line up correctly.
You can do HDR from a single RAW file, making a number of different conversions of the same image to bring out the highlights and shadows etc, but I don't think the range you get is as good as shots taken at different exposures.