Photomatix works with photographs of the same scene taken under different exposure settings. These differently exposed images of the same scene are often called "bracketed" images in reference to the auto bracketing exposure functions available on many camera models.
If you haven't taken any bracketed photo sets yet, you can start using Photomatix by downloading the above sample in the zip here.
You can use Photomatix with a single photo too. If your scene is high contrast, however, you will get better results if you take several exposures and merge them to an HDR image that contains the entire exposure range of a scene.
Next: Taking Photos for HDR