Are you sure you're trying to merge photos of the exact same pixel dimension? You haven't cropped any, have you? You can verify the dimensions in the Library's metadata panel.
Have you tried different sets of images? Perhaps even tested with images that you've successfully merged before? I'm just trying to rule out some basic things before diving any deeper.
How many images are you trying to merge into one HDR? Have you tried this with a smaller set of images?
Also, have you tried it for the images that you have successfully merged before?
So.....I found some old bracketing shots and loaded them into LR...whala...they worked. I shot 5 new bracketing shots at sunset tonight, merged into HDR, and everything worked perfect. I appreciate the reply!