You have to use software to do this.
HDR, simply said, is mixing 3+ photos together, and highlight their goodness together.
First, you have to take a Exposure bracketing group, recently any Single-lens reflex camera can do this. Canon, nikon.
Second, import these images to your HDR software（Lightroom;photoshopCS5;photomatix;HDR Darkroom etc）and let it do tone mapping.
Last you can adjust you HDR photo.
There is a website can do an HDR photo online, and they have already make an example for you, in Fotor-HDR：http://www.fotor.com/features/hdr.html
You can find many great HDR photos in 500px.com， IT'S not only about exaggerated effect, HDR means more, you will know it.