The Lightroom Plugin included in Photomatix Pro lets you select photos in Lightroom and export them to Photomatix Pro for HDR rendering, and reimport them into your Lightroom library.
If Lightroom is detected on your computer, the installer will ask to confirm that you want to install the Plugin. Make sure the box Yes, install the Lightroom Export Plugin too is checked before clicking 'Next'.
If Lightroom is installed on your computer, the Plugin should be automatically installed when you run the installer.
In case you wouldn't see 'Photomatix Pro' listed on the Export menu, then follow these steps to install the Plugin manually.
Important note: If you have chosen the option to automatically reimport into Lightroom but do not see the reimported image, this is normally because Lightroom is set to show images of the previous import only. To change that, look above the thumbnails on the FilmStrip, and choose All Photographs instead of "Previous Import".
See also this short tutorial on using the Photomatix Plugin for Lightroom.