Sam's correct. You can't do HDR in Lightroom itself.
That said, some programs can be integrated with Lightroom. For example, on my computer, there are two options in Lightroom "Export to HDR Efex Pro" and "Export to Photomatix Pro" That exports the image(s) you've selected to the program you choose. When you're done, the new HDR image will show up in Lightroom.
The integration works well, and it's nice to be able to use LR to select the images you want to work on. However, you do need to buy a seperate program.
As far as HDR goes, Photomatix is the current market leader, and for good reason. I'd suggest downloading the trial version and giving it a shot. HDR Efex Pro is also quite good too, and I find that I get more realistic and natural looking images with it.
The new version of Photoshop, CS5, apparently does a much better job than its predecessors. Due to the cost, I haven't upgraded yet, so I haven't tried it. I have heard good things about it though.