What is Exposure Bracketing?
When exposure bracketing is activated, the camera will take three shots consecutively. One shot will be normally exposed, as if the camera was set to auto exposure, then the camera will take a darker shot of the same scene, and then finally the camera will take the third photo, which is a bright version. Then you can choose which photo you like the best. This is a “shortcut” and time saver which is similar to using exposure compensation, but much quicker.
Some camera manufacturers (such as some Canon models) require you to press the shutter release button three times consecutively to get all photos in the exposure bracket. However, other manufacturers make it easier, you only need to press the shutter release button once to take the three consecutive shots automatically.
To set up exposure bracketing, click the BKT button on the back of your camera, or find AEB, or Automatic Exposure Bracketing, in your camera menu. You’ll see a scale that allows you to establish the width of the bracket in full stops or fractions thereof. Please refer to your Camera Manual to identify the exact location of this feature.
Here's the lesson from Digital Camera Mastery where this is discussed:
Exposure Bracketing - the Ultimate Tool for Tricky Lighting Situations
Here's a guide on how to merge the bracketed images into HDR: