HDR - Can I totally cheat?
 

I know that you need under/normally/over exposed images to do an HDR in PS, however, can I totally cheat and use one photo, saved as under exposed, then again as normally exposed then again as over exposed, and open all three as if separate images, to convert to HDR in PS?

It's a fairly normal procedure, go for it!

I'd like to add a perhaps obvious point to Graham's answer:
It's only worthwhile if the original photo is in RAW format.

Yes, I only shoot in RAW. I then have to convert my CR2 images to DNG (long story....) I understand DNG images are like RAW and maintain all of the info. It's these I would save as normal/over/under exposed.

In the past I have actually taken the 3 images seperately.

Bonus advantage of using one RAW image it lines up perfectly. Tree's etc don't move in the wind.

Unless its windy and you aren't on a fast shutter speed!!!

Actually, Im really pleased to have posted this thread as I would never have known to only take one image and continued with three.

Having said that you can do it with one - you'll usually get a better result with 3.

If the one exposure that you're using has some totally blown highlights or blocked up shadows even shooting in RAW wont recover them. I usually use three at -2ev, 0ev & +2ev although sometimes in very high contrast conditions I might go to -3 or -4ev.

Setting the camera for high speed, auto bracketing and using the auto align feature in photomatrix I find I can get away with hand holding

How do you hold hands with someone whilst taking a photo? Im impressed you old romantic! haha