Well, HDR is a pretty extensive subject, but I will try to strip it down as best I can. In case you don't understand the principle behind it, HDR exists because the camera is not as sophisticated as the human eye in capturing extreme contrasts in lighting. It can properly expose for one (shadows), the other (highlights), or something in between (midtones).

The point of HDR is to combine all 3 to obtain maximum detail from the shadows, highlights, and midtones. This means you'll need to take 3 (or more) pictures of the same scene with different exposure values.

I don't know about the Sony A330, but if it's a dSLR, it should be able to fire off these 3 differently exposed pictures automatically. This process is called Auto Exposure Bracketing, and on my Canon it can be accessed through the Menu panel, labeled as AEB, which is short for Auto Exposure Bracketing (also make sure your camera isn't in Full Auto mode or the AEB option won't appear; in other words, you'll need to shoot in one the manual modes like M, Av, or Tv).

From here, you can preset how spaced out you want your pictures to be in terms of exposure values. The centre bar is the "neutral" exposure determined by how you meter the scene. This will be the first shot you fire. The other shots will correspond to the other 2 bars in the AEB set: The left bar representing an under-exposed picture to capture the details in the highlights, and the right bar representing an over-exposed picture to capture details in the shadows.

A good starting point I would say is to set your AEB values at 0 (neutral, will always be zero as this is your reference point), -1 and +1. Then you can judge by the camera's histogram (after the pictures have been taken) whether you need to increase or decrease your bracket values.

If you know your way with photomanipulations, then I trust you can interpret a histogram. That is one of the great advantages of digital cameras because a 2-3 inch preview will only take you so far when on the field... especially when the glare of sunlight has a nasty tendency of washing out the tiny LCD preview. The histogram however does a pretty good job in telling you how well your camera managed to capture tonal contrasts.

The trick with HDR is first and foremost trying to get a balanced mix of exposures in-camera. Ideally, this means your "neutral" exposure should be centre-weighted in the camera's histogram, that the under-exposed picture should lean at or slightly past the far left corner of the histogram (shadows), and the over-exposed picture should lean at or slightly past the right corner of the histogram (highlights).

Before merging these different exposures together, I must also mention how useful it is to have a tripod even in broad daylight. In as little as a second (for the 3 combined shots), your hand(s) can and most probably will shake enough for the camera sensor to record a noticeable shift in perspective. A shift that some software may attempt to correct, but that's what I would call an "educated guess" from a machine that does not know how to interpret a picture, just how to re-adjust the square blocks of colour known as pixels inside the picture.

Once you factor in the above, then I would say could start to have fun with HDR. And one application I would recommend is Photomatix Pro. Provided you have 3 well balanced exposures, Photomatix does a good job of combining them. All you have to do once it's open is click "Generate HDR Image", choose the multiple exposures you want to work with, click OK, and then Tone Map the composite image.

From there, it's a matter of experimenting with the various sliders until you end up with something you like. I can't really recommend any set of values because they vary from picture to picture, and also the desired effect in the HDR output. Some people favour an almost painterly surreal effect (in which case you might lower Light Smoothing to Medium or below), whereas I prefer a more photorealistic scene with a little colour boost (generally Light Smoothing set to High-Very High).

At any rate, I found there to be an excellent book on the subject, and it's called "Complete Guide to High Dynamic Range Digital Photography" by Ferrell McCollough. If by chance the advice I offered wasn't of much help or you want further information from a pro, then I would strongly recommend this book. Comes fully illustrated for those like me whose mind easily wanders when reading too many words and no visual escape