As far as I can tell the X10 doesn't have a HDR function (hope I'm wrong). I'm no fan of it but it does have its uses.
Artistic hdr, enhanced or art filter hdr is missing on the x10, though the advanced setting has a "Toy" mode that mimics hdr with a vignetting and colour boost, very nice for making fast and useful atmospheric postcards, i have come to use that a lot after discovering it
The dr settings can prevent extremes from burning out and create some hdr feeling, yet to be able to make strong effects you need to work with bracketed photos and some work, you can also try a raw hdr, yet it still only gives a few stops more light to work with and you really want 5 to 10 stops more!
The ae bracketing only does +1/-1 stops so hdr is hard to create from that, making true or artistic hdr seems to need a tripod, focus lock and turning the exposure wheel back and forth with ae bracketing and then combine these on your computer, there are several programs like hdr darkroom that can do it or the more affordable photomatix version called photomatix essentials (5 photos at a time max)
You can learn about making hdr here: http://www.luminous-landscape.com/tutorials/hdr_workflow_for_the_rest_of_us.shtml
Useful tips and facts about Fujifilm X10: https://docs.google.com/document/d/1RYxbNsSGs2FtpkjpsLlA-yrkjXO_DKiBaVpMdLPA5P4/edit#
Collected user advice for all Sigma DP1 and DP2 models: