The image you've posted doesn't appear to have a huge dynamic range (in v simple camera terms 'the number of stops between the darkest shadows and brightest highlights') But without seeing the composite images, there's not a lot we can tell.
"Merge to HDR" functions are fairly straightforward - insert images & click the button. The key is to get the right number of shots, correctly exposed, into the software in the first place. To do this...
- Choose your aperture & ISO. (Example ISO 100, f11)
- Point the camera at the point where your highlights are exposed how you want them. Make a note of the shutter speed. (example 1/250 sec)
- Point the camera at the point where the shadows are exposed how you want them. Make a note of this shutter speed. (example 1/4 sec)
- Set your camera up, manually focus (or auto focus then switch to manual to stop focus shift), manually set ISO & Aperture.
- Take a number of exposures starting with a shutter speed at one end and working your way in increments (most people use whole stops - but you can use half-stops or even third) to the other. (Example 1/4 sec, 1/8 sec, 1/16 sec, 1/30 sec, 1/60 sec, 1/125 sec, 1/250 sec)
What you can see is that "three shots" may not be enough for the scene, or it may not even be needed at all. It depends on the dynamic range available. Understanding why you're doing what you're doing is the key here. The button push in Lightroom/Photoshop/Photomatix is the last step and the results coming out of it will all be reliant on how much effort you put into the preparation. I find that doing what I do also really slows me right down and forces me to consider composition. Which is only a good thing.
A good test of technique is in a room in your house with windows. Take a photo of the room and try and expose the outside as well as the inside. With one photo, the camera is unlikely to be able to do it well.
Finally - Grads - like Simon mentioned - will reduce the brightness of the sky, bringing the dynamic range down to a tighter gap. They're OK until you have some detail that you want to retain that pokes into the dark bit of the grad which you then need to potentially go and fix in post. Don't get me wrong, I love my grads, but there are times when they're not the answer.
Apologies if you knew all this - or if this is far more than you needed to know...