I found a tutorial and followed that.
Basically, you need a tripod and decent camera that you can change the exposure time on and use RAW images.
Then you have to load them all into Photoshop CS2 and merge them into a HDR image, then mess about with the settings to get the look you want.

My effort isnt 100% due to my camera not taking RAW images, but Im quite impressed with how it has turned out compared to a normal pic! (Will post one in a min for comparison)

Ive left it as a link as the pic is over 1MB to retain quality:
http://img144.imageshack.us/img144/6595/hdr1oj5.jpg
Make suew you are viewing it in its full size or it wont look as good