If you have heard about the new features of Adobe Photoshop Lightroom 6.0 and wondering how do you create an HDR image, then this step by step tutorial would help you to understand the workflow of creating HDR image out of 3 or more photographs.
As you can see in first image above, select any 3 shots of same frame with different exposures. Right click on any of them and opt for Photo Merge - HDR. The first image in this post is showing the exact step to initiate HDR workflow.
As you opt HDR option, a new screen comes up and it takes time to show the resulting image. You would see 'Creating HDR Preview' for some time.
After a while you would see resulting image in this dialog and there would be few more options on the right. There is one option which would automatically align your images if there were not aligned when they were shot. The option is about auto-toning, which is usually helpful. Although you can experiment by unchecking as well.
Play with these controls on right and when happy with results, just click on 'Merge'. Immediately you would see 'Creating HDR' progress on left top of the Lightroom workspace. After a while you would see the result as below.
Just for your information, I created this HDR from single image and results would be far better for 3 or more individual shots at different exposures. It depends how much variation in aperture you want.
Do comment back if you have more questions around the same.