Thanks! HDR stands for High Dynamic Range, and basically it's a process for adding a lot more contrast and color through a series of steps and you really don't lose much detail from the original photo. A lot of times if you just adjust just the levels in an image you usually make your dark areas darker and your light areas brighter, and you usually lose information and details in these areas. It gives the image more contrast and makes the colors brighter and vibrant, but you lose detail. With HDR you are able to keep most of this detail and also add brighter, richer colors along with more contrast.
It's done through Image>Adjustments>Shadows/Highlights and then a series of different layers and blending modes. It really works well. I suggest doing a Google search for "Photoshop HDR Effect" or something similar and find a tutorial that you can follow. There are lots of them out there.