HDR stands for High Dynamic Range and, simply put, it means there is a vast range between the darkest and brightest parts of a scene. In the picture I've included here, in the early morning fog, there was a bright sky and bright fog and water and some of the shadow areas and foliage were very dark. So I took a series of exposures and then blended them in Photomatix Pro to get what you see in this final product. I also did a little creative editing to make some parts of the pic "pop" (same colors as was evident the morning I took these pictures, just edited to make them a little brighter and bolder).
This and other photos are available on my site http://rjdixonphotography.zenfolio.com/