How to do an HDR image?

I heard that an tripod is really essential, but should i really need it.
I have a Nikon D3100 how should i put my settings, for an HDR.

Sorry it's bad news. Unfortunately you really need auto exposure bracketing so you can take 3 (or 5) images 2 f stops apart, especially if you want to hand hold (which is how I take most of mine), that the Nikon D3100 doesn't have. I really don't understand why Nikon cripple what is a fine camera in many other respects.

You can do a pseudo HDR from one Raw file simply by loading into Photomatix Pro or similar, but it really isn't the same thing.

Take one exposure for the highlights of the subject (usually one stop under exposed) and a second identical shot (your camera has to be mounted on a tripod) exposing for the shadow area (about two to three stops over exposed.

In Photoshop, File > Automate > Merge to HDR

Having an automated bracketing feature on a camera is only a convenience, NOT a necessity.

For the control you really need to produce HDR images, just common sense and some photographic skills are all that are necessary