1. It doesn't save the change/effect in a separate layer like Color/Silver Efex and Viveza do.
2. When I tried to save the changes ("save as" and just "save") I got a pop up box saying "program error and was stuck.
When the HDR dialogue box comes up, check the box to ran it as a smart object. Then, when you tonemap it, you will see the HDR settings on a separate layer, which you can save as a smart object and revisit when you reopen the file (32-bit file).
After you process the tone mapping, you will see two files on the CS5 workspace. The one to the left will be your 32-bit file and the other will be your 16-bit or 8-bit file, and each can be saved separately.
I suggest that while you are in the Nik HDR window you click on "Help" (bottom left, if I remember correctly) and it will take you to an excellent series of tabbed pages on using the program. One of the pages gives various ways to save your work, including one that goes through Photoshop's HDR Pro when you change mode from 32 bits to 16 or 8 bits. It tells you what settings to use so that you do not actually change the file in HDR Pro, but just convert it to the lower bit-depth.
I hope this helps...