Hi to all

Can anyone please please help as the more I read instructions in elements 5 the more I become confused.
I have seen pictures where three of the same images have been merged together giving great results by this I mean one under exposed to bring out sky one normal exposure and one over exposed then they are all put together in photoshop, I take it this can be done with elements 5.
Please can anyone give me step by step instructions on how to achieve this.
HDR think its called.
Sorry if I sound a bit thick but I can do most things in photoshop but cannot work out how to do this.
Many thanks for your time.