As shown the best order of bracketing is Meter (0) /Under/Over.
The majority of P&S cameras shoot in JPEG. For HDR that's great! But, if you are going to shoot HDR photography with a P&S make sure you shut off all the automatic stuff. No automatic flash and so on.
Concentrate on getting the different exposures right. Practice without the tripod. Sit in chair and set the EV at zero and see what the standard shot is going to look like, and then move the EV up and down and you can see the difference in exposure before you take the actual shots.
On most modern DSLRs you have what is called Automatic Exposure Bracketing (AEB) built in.
Instead of having to manually change the Exposure Value for each of these three shots the camera does it for you. The camera is usually set on AV or aperture priority and you set the f/stop.
Ninety five percent of HDR shots I take are with a wide angle lens when using my Pentax DSLR. In daylight almost everything is shot at f16 or f22 for a consistent depth of field and, of course aperture priority setting.
I shoot in RAW, although JPEG works just as well in HDR photography. I set the ISO to 100.
I have used f22 inside a building and it has worked great. Night time may be a whole different ballgame and I will report later on that.
For my HDR processing I use Photomatix. It's reasonably priced and it is the best HDR software I know about. They have an excellent built in tutorial.
The software is like magic...it does all the work for you...alignment of the various exposures, de-ghosting, removal of chromatic aberrations and other things that can go wrong in HDR. And, “poof”out comes this magical photo.
The best part is: You don't like your HDR photo, there are super controls within Photomatix that you can play with to finite your masterpiece.
I have Elements 7. If I want to do further minor tweaking I use that. The combination of Photomatix and Elements works superb!
Whether you have an inexpensive P&S or an expensive DSLR there is no excuse but to try your hand at HDR Photograph. It's more fun than a barrel of monkeys!