Bracketing is simply taking multiple exposures at slightly different exposure values to make sure you get one that is correct. This has been done since forever really, often used on film when the light was chancy and the image very important. You can do it manually by setting the exposure values you want or if you use an automatic mode by using the "+/-" button to change exposure compensation.
On digital, at least on k-5 and k-3, you also have the ability to take a number of images automatically with a selectable variation in exposure value. This is under the drive mode setting (key pad up button) then select "Exposure bracketing". On the k-3 and k-5IIs I can set the number of images taken and the EV between them. I usually use 5 exposures with a 1EV difference. So -2, -1, 0, +1, +2 for five exposures.
If bracketing is all you are interested in then when you get the images on the computer pick the one with the best exposure and delete the others.
However, these bracketed images are often used as the basis for an HDR image. The images are loaded into HDR software such as Photomatix or PhotoShop and merged into an HDR tone mapped image.
Quote: I use HDR for exterior shots but I am curious to know how you bracket?
If you are talking about the in camera HDR, then essentially the camera is doing the process internally. I've never used that function I believe the results are better from bracketed shots and dedicated software. But of course you have more work to get that done.