Actually, the sunset part is overexposed in the linked image. It's the foreground that's underexposed. And that brings us to the crux of the problem: the camera can't see what your eyes can see. Having a raw image with a higher bit depth would help, but there are circumstances, like shooting into a not-yet-set sun, where the camera simply cannot record detail in both the brightest and darkest parts of a single image.

Adobe Camera Raw can do some amazing things. Exactly what you would adjust depends on the version of Photoshop (or Lightroom -- the develop module of Lightroom and ACR are pretty much the same program under the hood) you're using. But with the picture you linked to, "amazing" isn't enough -- you actually need "miraculous". You can get to this point easily enough:

In ACR 6 (the version in Photoshop CS5), that's a matter of using the Recovery slider to bring down the sky. You might be tempted to use the Fill Light to raise the foreground, but that will lighten the darker aareas of the sky as well. You need to use the adjustment brush to bring up the foreground. (Alternatively, you could use the sliders on the "Basics" panel to adjust the foreground to your taste, then use an adjustment brush to put the sky right.) But notice that while some detail has been brought back to the foreground, it's essentially black and white; there's little to no colour information there at all. (And there was an awful lot of noise that had to be removed using the Luminance slider on the Details panel.)

In order to get a satisfactory image in both the foreground and the sky, you would really need to have taken at least two images, one that was properly exposed for the sunset to capture all of the colours in the sky and clouds (which would leave the foreground pretty much black), and one that was properly exposed to record both adequate detail and colour in the foreground. You could then adjust each in ACR to make the best of the area each photo was meant to capture, then combine the two in Photoshop. (Particularly with this image, since creating the mask would be easy.)