I use Photomatix Pro. Its the newest version. I don't remember the numbers. But you can go to hdrsoft.com and get a non registered version for free and try it out right from the site.
To start out use Av or whatever Aperature Priority mode you have on you camera. It's either A (Nikon) or Av (Canon). Some cameras cannot set up for AEB (auto exposure bracketing). You will have to use exposure compensation manually. But if you can go to the menu and stop down to -2 0 +2 and put the camera on high speed shooting (thats what I use) put the camera on a sturdy tripod, compose the shot and hold down the shutter until all 3 shots are taken. I would use a remote shutter release for this. Oh, and make sure to use manual focus. The auto focus just gets in the way. Well, there you have it! Good luck!