Yeah I had to manually do it on the D70 If I wanted to shoot more then 3 shots.
The menu you were talking about sounds like your correct/perfect exposure menu... That should be set right at (0), If it is set at +2.5 and you go take a picture in mid day and you have it set on (0) in the view finder, it actually takes the picture and it comes out 2.5 stops higher.... try setting that on (0) and see how it turns out.
If you are wanting to continue using HDR, you need to purchase Photomatix software. Its an HDR software and its better then CS3's HDR setup.
They have a trial version, but it watermarks they're name in three different places on the photo, but it will give you an idea on how it works. When you go to start the program up it will pull up a menu and it ask you about a quick tutorial, click on that and it will help you out tremendosley(spl) on the steps to take in that software... it will take about 5-10minutes