You will need to take multiple shots as with all bracketing. Generally one shot over, one shot under, and one in the middle. If you have it set to 'single' take a look at the shot info, it will show you whether it exposed over, under, or normal. Reme...
You do have your drive set for multiple shots, right? Also remember to 'set' the AEB after you dial it in. Also remember that it reverts to 'normal' when you power off/power on the camera.
Why are you doing an HDR shot? Are you doing it to create "an effect", or are you doing it to solve a lighting issue? This is a question that you need to think through. The whole idea behind HDR is to be able to expand the capability of your digital ...