Merge to HDR Pro Dialogue box won't open.

Proper place is the photoshop forum.

You could try and replace the preference file and see if thats the culprit. On windows hold down ctrl, alt, and shift key at photoshop's bootup. I don't know the Mac's equivalent. You can also search for the preference file itself and delete or move to a safe location and let photoshop recreate the file. By moving the file, you can always put it back, if your not sure whats happening.

I am having the same problem.  The photos go through the process of merging to HRD and then disappear, this is so frustrating.