Hello, I use Lightroom 6 and although I don't use the HDR photo merge tool very often I can try and explain how I do do it. What I do is I go into the library viewer mode and hold down the control button (windows) or I think it's (command) for mac users, and click on the images I want to merge, note: this can also be done while in editor mode by clicking on the images in the toolbar at the bottom of the screen.
Once I have them all highlighted, I go up to the upper left corner and click on file>drop down to where it says edit highlighted images in HDR then click on that and it automatically starts the process (of which may take a minute or two depending on the size and number of images you have selected), and then you go from there.
If you are new to doing HDR images and you shot them handheld, you may want to highlight the de-ghosting box, especially if your images are landscapes shot on a windy day. Let me know if this helps!