I made an HDR picture by combining three images in Photomatrix, but I don't know how to use the resulting .hdr file. Moreover, when I open it in phtoshop, it only displays the first image of the three, not the .hdr image. Strange. Don't know if this is what it is supposed to do. I want to be able to use the resulting .hdr images that I create to display on the web.
The .HDR file has to be tone mapped or some form dynamic range compression applied to it for it be saved in a format like jpeg and displayed/printed on lower dynamic range devices.
Photomatix would have a 'Tonemapping' menu option or button which can use it to make an image which you can use on the web. Photoshop would have the similar option(s), but I've not used it before. I think the options that you find in tonemapping might be excessive to be explained in an answer here. You'd find lot of answers in http://photo.stackexchange.com/.
Some links you might find use for: