There is a 3rd party plug in for Lightroom to do HDR, but the name escapes me at the moment. You can save an HDR file as jpeg or tiff, but not as a raw file (as these are what the camera sensor sees).
However you can create an HDR image from jpeg or raw.
That wasn't the one I was thinking of, I didn't realise they did it as a plug in though.
Photomatix? The guy who's written the best selling Lightroom book, Scott Kelby, says: "Try it once, and I doubt you'll use Photoshop's old HDR feature again." It certainly has good rep.
Two versions, Pro $99 and Light $39. Free trial downloads here http://www.hdrsoft.com/index.html
Elements 9 yes not used light room as I went for elements 9.
Jamie
I've got the pro version, not sure what that gains over the normal one though.
If you search YouTube for photoix HDR basics, it takes you through using lightroom and photomatix together.