I'm pretty new to HDR too, but I'm getting there. I've learned that if you don't want to achieve HDR using the more complex route of Photoshop, then you can use Photomatix Pro software. You can download a fee trial of the complete programme at http://hdrsoft.com/
. Only downside is you will get a watermark on your final images until you purchase the programme.
In Photomatix you can achieve an HDR effect with a single raw or three bracketed jpegs. I have also discovered a way to achieve the same effect with a single jpeg, which is useful for those times when you don't have a tripod to hand. See the tutorial at http://flickr.com/photos/cleever/255026221/
The effect isn't as good as achieved with three different exposures, but it's passable and fun to do.
There are some excellent examples of HDR in Flickr. Just type HDR in Flickr's search engine.
Good luck in getting started.