Nikon d90 multiple exposures?

I heard that you can make simple hdr photos on the Nikon D90 itself by using the multiple exposures setting. How do you use it? I have it on, and have taken some photos at different exposures while bracketing and not bracketing, but I haven't found a way to put them together. There's one video on youtube that shows how, but it's showing the camera doing it automatically after the final image. Mine isn't doing it automatically and I can't find a way to merge them while still in the camera. Any help would be appreciated.

Video I found:

Added (1). I know it's not a true HDR, but it's giving an effect that I'm looking for. All I want to know is how to merge the layers while it's still on the camera.

You hear wrong or whomever said it, is not proficient shooting HDR images

Shooting HDR is NOT an automatic process. You must take a certain number of exposures (determined by you and the lighting of the scene) and then merge the using a photo program on your computer

Merging those images is quite simple if you have Photoshop CS5… There's a Merge to HDR tool on it

Merging images into HDR files IN the camera is not going to happen.

When using multiple exposure with the D90, you have to make sure to select "DONE" then "OK" when you are exiting the Multiple Exposure mode.

If you end up with 3 images instead of one, you probably didn't select OK after highlighting DONE.