Because one can do almost anything using Photoshop, the possibilities are essentially endless. So, IMHO, the very first thing you have to decide is more-or-less how you want the final product to look. Don't think about what specific techniques you know or have available on your computer. Instead, think about how you eventually want it to look, and then figure out / learn how to get that look.
Do you want it to look like a Sci-Fy, other-worldly-landscape sort of thing, or is it supposed to look realistic but dramatic, or a soft-and-romantic beach scene, a true multi-exposure HDR photo of a beach, daytime, night-time, dusk, or mid-day, or something I haven't even mentioned?
That being said, the next thing you have to think about for the next time is starting with a technically competent photo. Specifically, the one you posted is at least a stop overexposed, very low resolution (ie,not enough pixels), and you used too low a JPG quality factor. If you really are interested in HDR techniques, stick the camera on a tripod and take 7, full resolution shots spaced by a stop apart and saved as either a RAW data file (best), or, if your camera doesn't provide that capability, save it at the highest JPG quality possible.
If you don't have these ingredients to start with, all you will be able to do is "fake", low quality HDR. It never comes even close to looking as good as real, multi-exposure HDR.
So, to illustrate the huge variety in looks one can obtain, here are a couple of different versions. The first is the result of spending a minute or two going crazy and dropping in a completely new sky. The second is what one would get if you ran your image through the NIK HDR plugin (using preset #8). Notice all the little rectangular artifacts in the sky? They are there because of the small size of your image and the low JPG quality factor you used when you shot the photo.
HTH,
Tom