There isn't a way to combine the images in camera; a stitching program would be able to combine images and account for the camera position (since your hand is moving). Otherwise you would need to use a tripod to get the frames matched up exactly without further post process editing.
I would recommend manually setting exposure to get 3-5 shots at varying EVs. Also strongly recommend using a tripod to get shots steady. Photomatix is the best software for HDR. There are plenty of online demonstrations and tutorials on you tube.