When you click Export, Lightroom will export the selected photos to Photomatix Pro. Photomatix will align and merge the photo and let you adjust the HDR image to your liking.
If you check the Automatically re-import into Lightroom library box, the image created in Photomatix Pro is directly saved and reimported back into your Lightroom library.
If you prefer to apply other presets to your image before going back to Lightroom, or if you wish to use Photomatix Finishing Touch, then leave the Automatically re-import into Lightroom library box unchecked.
When you haven't checked the re-import box, you will still be able to reimport in Lightroom when you save the image in Photomatix Pro.