Back when I had my D40X, I shot in apperature mode and adjusted the shutter speed to create different exposures. You'd get about 5 doing it this way. You want to keep the apperature constant, else your DOF would change between shots.
With my D200, I just used Automatic Exposure Bracketing, specify if I want 5 or 7 and shoot, the camera does the rest. Your XTi should AEB as well, so all you need is a tripod and you're set.
I used Photomatrix to merge the RAW's together and tone mapped them. There are tons of HDR tutorials out there. Since I use Photomatrix, I found this one helpful.
http://www.vanilladays.com/hdr-guide/