The 1st pic below is normally exposed picture, follow by under-exposed and over-exposed pictures (by 2 stops).
In the under-exposed one, the details can be seen in the sky while other areas are dark.
In the over-exposed one the sky is blown out while 'shadow' areas may be seen. 
Combining the 3 pictures (= 3 exposure range) above is what we call HDR photo.Thus in the HDR picture, you can find details in the bright area (the sky), shadow area and mid tone area- all in one pic!
See below for the result of HDR:
