I have made, with auto-bracketing, a set of 3 pictures of the moon to merge it with the HDR auto-merge function of Photoshop. The problem is that PS Cs5 is not being able to compensate the movement of the moon. Wat can I do to compensate this and merge it to do a HDR picture?
I have used the free software Hugin to achieve this. Although primarily for building panorama's Hugin is a GUI for various tools including align_image_stack for aligning stacks of images in preparation for creating focus stacks or HDR blends with enfuse. With a little experimentation you can use the tools either from the command line or from within Hugin. You can take the output at any time and use it in Photoshop or follow the process through with Hugin's panotools.
See also panotools wiki.