It might be that the picture you are taking requires different levels of exposure for different parts of the picture. Examples would be a landscape with colour scenery and a bright sky. Alternatively a seascape with land and water.
HDR in the camera allows you to take several pictures with different light compensation and merge these together into one final result in camera.
You may want to take separate pictures and do the merging using the HDR feature within you editing software.
Multiple exposures or multiple pictures can be merged into one large picture to give a panoramic effect in software.