How do you take a hdr photo with a Nikon d200?

To photograph lightning, you have to a pretty large extent get lucky! You have to get into a position where you can see the lightening. You will need a tripod and a cable release. With the camera on the tripod, focus on infinity and make sure you have set manual focus. With the D200, you can set to take several exposures with a single press. Set a low aperture (f4 say) and use aperture priority. As soon as you see lightening, hold the cable and shoot off a few frames - you can look at the results on the LCD and adjust the focal length/exposure as appropriate. If you are photographing at night, then you can use B settings and hold the shutter open until the lightning strikes and then close the shutter.