Mostly HDR needs to be done on a tripod. That way the pictures perfectly align. Photomatix does, however, have the ability to be a bit forgiving and will do some aligning for you if the pictures don't overlap 100%.
So you see a great HDR opportunity but you don't have your tripod with you. What do you do? You can always balance the camera on something to keep it stead but sometimes that's not practical. However, if you have a relatively steady hand most DSLRs will let you do without a tripod.
They way to do this is to first set up the brackets - on the Nikon D90 there is a small button on the front left of the camera that says "BKT". You press and hold this and roll the dials to set the number of shots and how over or under exposed they are. I use 3 shots at +2, +0 and -0 which seems to serve me well.
Next you put your camera onto high speed repeat shooting. Make sure you have a flick through the menu section about this as the factory setting might be lower than the camera's maximum. Mine was set on 3 frames per second (fps) and I increased the value to 4fps. The object of this is to take all 3 pics in rapid succession. You are NOT a tripod and although you can brace yourself for the shots there will still be a small amount of movement between them. Using the fastest fps minimises this.
Next gently squeeze the button and click, click, click. You should have all three shots reasonably aligned. Stick them in Photomatix and you have your HDR result - hand held and not a tripod in sight.
On final point - sometime it's worth focusing first and then switching the auto-focus off before taking the shots. I've noticed that under certain conditions the camera will try and re-focus between shots and by the time it does you will have moved slightly and the shot's ruined.
Comments and chat as always appreciated.