An experienced photographer would most often prefer to use filters to balance the amount of light from the sky with the amount of light from the foreground.
An alternative solution is to take multiple shots with the same aperture but a different shutter speed, and later merge these. This is a good solution when your sky does not have a straight horizon line.
You take thrree ore more shots with one or two exposure steps between them. This is called bracketing, and your camera can possibly be set up to do this automatically when pressing your shutter once. But do remember to use a tripod.
Typically one shot is exposed normally, one for the sky and one for the foreground.
Back home with your PC you use a program to merge these three shots to one.
When I read about HDR software testing in the magazines, there is one program that always scores high.
The program I am talking about is Photomatix fra Hdrsoft. The test version is free and the only downside is that it creates a watermark on your picture which you will have to clone out. Until you figure out if HDR is for you :-)