A great book which has a lot of usefull information about HDR and how to improve sharpness is the HDR PHOTOGRAPHY Photo workshop by Peter Carr and Robert Correll.
the book gives you a assignment for each chapter which you ccan post on the web
www.pwassignments.com
you can get the book on Ebay for about £20
also the Infra red book of the same title is good.
Best of luck
Just remember it easy enough to merge the images but its in the finer adjustments that make the picture and it takes time to get right, just play about and have fun with it.