I guess im slightly confused, and maybe some of you are also
Its stacked images of a dead insect, than a *pseudo* (read fake) HDR filter was added in photoshop. Stacking images is difficult, I should know but its not several images at different EV values to make a *true* HDR image. There are several members here who shoot stacked images of living insects here, which is more technically difficult than this shot.....
Now, as for the image I think its pretty sweet! There are rarely any decent Cicada images on the web, so its nice to see one for a change
I wish I lived in an area were I could see one in real life