Depending on what camera you use it CAN be done in camera. My camera can not do this in camera so I have to use software for merging the photo's all together. There are a lot of programs who can do this, but I use the free HDR efex pro from the free Google Nik Collection as a plugin in my photoshop. I like the possibilities that come with this tool. But as said before, there are a lot of programs who can do the trick.