I can’t actually tell quite why he’s done what he’s done, but the guy in your node setup was going for a light bloom effect.
You don’t need different images like that, I shouldn’t think–at least, I never have.
Also, yeah, blender can sort of do ‘exposure’ right now, but not very well. The trick behind the HDR photos you see is not that they are HDR photos, because an HDR photo doesn’t mean that effect you see, it simple means they take record more variance in light than can be recorded with a simple black-to-white scale. The photos you see can’t display any light outside the range your monitor can display, so they aren’t ACTUALLY HDR photos.
What a photographer does to create one of these pictures is to blend several exposures of a picture together, yes, so the darkest parts of the picture are replaced with a very high exposure (making them brighter) and the brightest parts of the picture are replaced with a low exposure (making them less washed out) so you stop seeing so much light and shadow, and just start seeing DETAIL all over.
Blender can kind of change your exposure, but very badly right now, as it only makes the exposure brighter, and only within a very small range. Although there is, now that I look at it, a setting right underneath it (in the World tab under Shading) that does what you want, I think, called ‘Range’. Turning up the range makes it darker and turning it down makes it lighter. In theory you should be able to get a bunch of different exposures out of it.
Blender 2.5 though, handles lighting and stuff a lot better. Blender 2.5x has fixed one very serious problem which older versions of Blender have when it comes to rendering anything realistically, which is very difficult to compensate for without a fair bit of studying. If you’re willing to brave the danger, then look at this. There are some threads around the forum where these things have been discussed, but they’re very old and long, and more places to ask questions at than to try and understand.