High dynamic Range Imaging (HDRI or just HDR) is a set of techniques that allows a greater dynamic range of luminances between light and dark areas of a scene than normal digital imaging techniques.
The intention of HDRI is to accurately represent the wide range of intensity levels found in real scenes ranging from direct sunlight to shadows.
And how is it done?
Well, you take (at least) 3 pictures of the same scene, but every one of 'em should have an increasing step of luminance. (First one underexposed, second one correctly exposed, third one overexposed)
And then it's photoshop time. You can merge the pictures to 1 HDR file, and then start tone mapping to get the picture right.
I tried this for the first time this evening, and here's the result: