Originally posted by ENicolas Seventh, save your merged HDR images as 16-bit .TIFF files and then import them into Lightroom or another program to do final processing - thats where I do cropping, sharpening, color adjustments, etc.
Be patient and give yourself time to learn the quirks of the HDR process, and after a bit of practice you will get control of it and be making images the way you imagine them looking. A great book is "HDR Photography For Dummies" if you want to get into the real details of shooting bracket sets and using programs like Photomatix Pro - you can find it used on Amazon or EBay - I highly recommend it when starting out with HDR.
Excellent advice from ENicolas. The seventh point is really important. Once you have it tone mapped in Photomatix Pro, you are nowhere near finished: your HDR probably will look flat. You will need to add contrast, especially. For further processing, I usually head for Topaz Adjust 5. That software can make even HDRs coming out of Photoshop CS4 look excellent. BTW, you WILL overcook your images for a while, and you will think they are superb. A year or so later, you will look at your early attempts with a sheepish grin. These are stages we all go through. HDR is an art form, so you have to work hard at it, and develop personally with your passion. Good luck.