You really don't need to do anything in HDR. The problem is that your photo is a little over exposed. A simple way to keep your colors looking right is to adjust the shutter speed to a shorter time. You'll have to play with it a bit to get it right depending on how bright the light is.
You can also tweak the image in Photoshop. All I did here was reduce the brightness and bump up the contrast and saturation. Not perfect but you get the idea.
