The term HDR is the short form for High Dynamic Range. It refers to images which have a much wider number of stops between pure black and pure white (the extreme points where there is no discernable detail left).
Usually, it is difficult for a single frame to achieve that, especially in a mixed lighting situation. Photographers use different techniques to incorporate that in their photos. One of the techniques is to blend multiple exposures into one.
Bracketing (or auto exposure bracketing) is a technique that is used for that. Multiple exposures (a minimum of two) are taken of the shot. Each one a stop or more (sometimes less) different in terms of exposure. Usually, these exposures are one for the highlights, one for the shadows and one for the mid-tones.