If you use only one image as your HDR source you will see this dialog:
It will inform you that creating HDR images from single file is not a very good idea because you are actually not getting more dynamic range.
(In case of RAW file there is a bit more dynamic range even from single file since RAW files are commonly 14 bits*, but it is still often too low for a normal HDR file)
Additionally it will offer you two options:
Full HDR process
This will continue creating HDR file as if you load more then one images except it will not go to the aligning process. Then you can Tone-Map this HDR file. Again, the HDR file from a single image is a very poor representation of a "high dynamic range" image even from single 14bit RAW file.
It is usually better to process single RAW file with this method.
Pseudo HDR process
This will simply fake the HDR tone mapped look on the image without actually going through the HDR file creation. As you can see in the preview, on a single JPG image the result can be very similar to full HDR processing on the same single image, but it takes far less time.
As you press OK the process will go directly to the Pseudo HDR Tone-mapping window
It is usually better to process single JPG image with this method.
Because we are working with only a 8-bit (or 14bit for RAW) dynamic range the result will have much more noise, clipping and banding than image created from multiple sources. It will have also higher contrast because there are not enough data to smooth the transitions.
* The RAW files have 14 bit dynamic range, because the CCD of a digital camera is 14 bit, even that RAW file is actually a 16 bit file. Some companies claim 16bit or 32bit processing, but still their imager is 14 bit.