Yeer! you maybe right, but it kind of comes down to this if you have the time. Enjoy anyway. http://www.youtube.com/watch?v=qz4PXOqg4Js

I don't know how else to say it any other way. Nikon software is junk! Trash it and go in another direction.

When I loaded HDR efex pro 2 for a free trial I had the choice to load it with Lightroom and or Photoshop, I chose Photoshop.
What I do now on my Mac is;
a/ open Photoshop and click File/Automate/Merge to HDR efefx pro 2.
b/ Click Demo and open HDR efex pro 2, this should bring you to a page that will access your photos in your hard drive not View NX2.
c/ Select the photos you want to merge and click 'open' at bottom right, you will now be taken back in HdR efex pro 2 where you click Merge Dialog/Create HDR.
d/ This is where it gets fun, do what you want with your photo here and when you are finished click 'Ok'
e/ After 30 seconds or so your finished photo should be open in Photoshop ( you can make further adjustments here if you wish but I don't ) then click File/Save as, in the dialog box the 'Format' should be TIFF then click Save/Ok/Ok
f/ Go to Capture NX2/Folders and open the folder you just saved the photo in and it should be there as a TIFF. Open it in Capture NX2 click File/save as and choose NEFF/Save.
Now you should have your HDR/NEF photo in Capture NX2 that you can see. I know this might seem a complex way of doing it but it works for me and it is surprisingly quick after a couple of times.
Good luck.

I am having the same issue. I can produce the HDR image in HDR efex pro 2, I can view it in windows photo live and open the image in photoshop elements but when I try opening it with capture nx2 I get the message unable to open the file.
What specifically did you have to do??

Thanks

I have found the solution to my problem.
http://www.youtube.com/watch?v=Wl42bokv8WA

Is it possible to view a saved image from HDR EfexPro2 in View NX2 or Capture NX2?
After converting my NEF files to tif files ( HDR Pro2 wont except NEF files ) I open HDR Pro2 and import my new tif's and proceed process them, I then save my new HDR tif image back into View NX2. So far so good. Then when I come to open the new tif image in View NX2 I get "Unsupported file type" It's the same if I try to open it in Capture NX2. I can however open the original individual tif files prior to sending them to HDR Efex Pro2 with out any problems.
I only have HDR Efex Pro2 on a trial basis and am not interested in purchasing it unless I can solve this issue. Am I barking up the wrong tree?
Cheers for any help.