all you need is 3 exposures -2 0 2+ that is what i tend to go for but its up to you, you can have a lot more exposures to get all the tones etc
you get one -2 so you capture all the shadows, 0 midtones and then 2+ for highlights, there are alot of programs out there if you search for HDR programs loads will come up some have trials like photomatix but leaves a watermark on the final image
i tend to use Photoshop, there is a merge to HDR function but i personally don't like it so i use lots of layers, tweaking levels etc etc dodge and burn so i can get the look I want
im sure if you go on youtube there will be tutorials etc on how to go about it but its really what workflow you feel comfortable with