Martin, glad you found some of that helpful, here's some more:
First, it's not a 3 shot HDR, it's a 1 shot HDR. You'd need to have taken 3 separate exposures without moving the camera (requiring a tripod or solid object to set camera on) to make a true HDR. what you did was post process the raw file up and down in exposure, you didn't actually change the exposure at all, just how the computer interprets the data created in 1 exposure.
It's really too bad that your camera doesn't do auto bracketing, it really takes all the work out of adjusting things, but it's not the end of the world. Just set it to Aperture priority and adjust the +/- exposure compensation to + 2.0ev, 0, and - 2ev (you're free to make as many exposures as you feel you need, the +-2ev 3 shot HDR is just a good starting point. Generally you don't need to bother spacing them less than 1ev, but it doesn't matter, as long as you don't move the camera you can keep shooting)
My suggestion on equipment: buy a tripod before photoshop. you can use a cheapo $30 tripod in most conditions and get great results. More expensive tripods just make it easier and faster to set up and adjust shots, are lighter, and don't move as much if you're out shooting a hurricane at night or in HDR.
in response to your question about photoshop doing HDR on selected portions of a shot: not exactly, but you could achieve this result without much trouble.
First off, if you're after the very surreal wacky HDR effects, don't use photoshop to create the HDR, just use photomatix. photoshop makes more accurate HDRs, but they don't have that crazy look.
secondly, using photoshop you could just use the HDR image and the original image as separate layers and selectively 'punch holes' in the HDR image to let the original show through.
In the example of your original shot though, you WOULD likely want the sky to be HDR, because in a proper HDR shot where the sky was exposed correctly in one of the shots, it wouldn't look blown out but would have nice detail. The news stand doesn't benefit much from HDR because it doesn't have much contrast. HDR makes contrasty scenes look more interesting, but the less contrast, the less HDR imaging can do with the shot.
Also, it would probably be a good idea to be sure you're using photomatix correctly (tone mapping etc), perhaps have a look here
http://stuckincustoms.com/?p=548
there are 87 million HDR tutorials out there, but this one uses photomatix and i found it the most helpful when i first tried out HDR.
then again, a more basic photomatix tutorial is this one on their own site:
http://www.hdrsoft.com/resources/tutorial_basic/index.html
So get a cheap tripod, get out there and get to work!