[GeoffWessex]

Stargate01 is right to say Aperture Priority (Av), which won't try to change ISO (or aperture) to compensate for the differences.... it will just use different shutter speeds. Manual mode should be unnecessary unless you don't have the bracket facility.

The problem with P or Program mode is that it has the ability to alter ISO, Aperture and Shutter Speed, in trying to come up with a 'good' exposure for every shot. You don't want that - you want some underexposed, some overexposed and one 'medium'.

Your 450D has the ability to bracket shots, but only 3 shots, 2 stops apart. That's a nominal 4 stops in Exposure Values (+2, 0 and -2). Not really ideal for HDR, which often needs an 8-stop EV range or more. You could widen your range by adding Exposure Compensation - for example, if you took your bracketed three shots with +2 stops of compensation applied, then took three shots with -2 stops of compensation applied (keeping the camera fixed in position for both sets, of course) you get a full spread of exposures.

Let's say the 'medium' exposure gave you 1/500th at your chosen aperture, without Exposure Compensation you'd get shots at 1/125th, 1/500th and 1/2000th.

If you apply +2 stops of compensation, you'd get 1/125th as your 'medium' value and get shots at 1/30th, 1/125th and 1/500th;
If you apply -2 stops of compensation (so 1/2000th becomes the medium) you'd get shots at 1/500th (again), 1/2000th and 1/8000th. You'd then achieve an exposure range of 1/30th to 1/8000th.... a total of 8 stops of EV range. You'd end up with six shots - two of which would be identical, at 1/500th.

(Sorry, sometimes you just need to get a pencil and paper out!)