
1. Open the image that you want to be working with. It is easiest if the image was well exposed but using an image that is over exposed or under exposed (like mine) also works well.

2. Duplicate the background layer and name it First HDR. (Layer>Duplicate Layer>Okay). We’ll bring the shadows and highlights up. So, on the new layer, go to:
Image>Adjustments>Shadows/Highlights...[check Show More Options].
[Keep in mind that other than the amount slider, some of the values that work for the image I've used here will not be the same as the one you will use.]
Change the value of both the Shadow and Highlights AMOUNT slider to 50% and the radius of both to 200. Now, slide the TONAL WIDTH slider for both shadow and highlights until you see that the areas that should be brighter or highlighted look the way they should and that the shadows are not too bright or dark. Move the Color correction slider until the colors are correct. And move the mid-tone contrast slider slightly up to get a more realistic look.
During this step we are not achieving the HDR effect, but are trying to get the image well exposed.
[In my image I had to play with the highlights more because it was dark, but if your image is brighter, you'll have to play more with the shadows]

3. Okay. Now your image may seem a little too bright/dark. So we'll simply apply a Brightness/Contrast and Hue/Saturation adjustment layer to fix that. (Layer>New Adjustment Layer). Try not to move the contrast slider or saturate the image too much.

4. Create a new layer (Layer>New...>Layer) and then apply the image (Image>Apply Image>ok).
5. Image>Adjustments>Shadows/Highlights... but this time we will move the AMOUNT slider all the way up to 100% and the radius should be under the value we had entered in the previous step. Refer to the picture for a guide as to what numbers you should enter. Usually the effect looks the best when the radius of both the shadows and highlights is almost the same. This time, though, move the tonal width sliders until the desired HDR effect is achieved.

Repeat step 3 if needed.
Also, sharpen the image a bid to give it an extra pop. (Filters>Sharpen>Sharpen)
If you have any comments, questions, or suggestions about this or future tutorials please feel free to comment!