You take those shots in aperture priority mode, on canon cameras it is the “P” mode. This way the camera selects the appropriate shutter speed automatically. It is very important that the camera has automatic exposure bracketing (AEB) option, because if it has that you just enable that and use 3 points like EV0 EV +2 and EV -2 and then it will automatically change the exposure settings automatically. Most of the new DSLR camera’s have AEB,
otherwise you manually take one overexposed, one underexposed, and one normal raw pic by changing the exposure/shutter speed (not recommended)
You are right and a very good observation you made, I am still learning HDR, I am no where close to being good. The most important part when taking HDR is that you need some VIBRANT COLORS, jitni rangeen photo ho gi utni ziyada tasveer ki dynamic range ho gi jo kay banda tonemap kar sakkay ga.
Here is one example (I have not taken the picture below)
This picture has all what it requires to get a beautiful HDR, and there were used 9 exposure RAW shots to get it.
I will try to make an easy tutorial where I explain how to actually make HDR from single good high quality uncompressed JPG images, this way people who do not have DSLR can also play around with HDR, however it will not be proper HDR but it will be a good exercise.
Let me know if you have any more questions.