Yes. In Photoshop CS5, Merge to HDR Pro works from image files, not layers already aligned in memory, so the usual workaround is:

1. Load the bracketed shots as layers.
2. Align them first, using Auto-Align Layers and then fine-tune manually if needed.
3. A useful manual method is to set the top layer to Difference blend mode and nudge it with the arrow keys until the image becomes as dark as possible, which indicates good alignment.
4. Repeat for the remaining layers.
5. Crop so all aligned layers have the same image area with no transparent edges.
6. Save each aligned layer out as a separate file (for example TIFF).
7. Run Merge to HDR Pro on those saved files, with automatic alignment turned off.

This is more work, but it can help when Photoshop’s HDR auto-alignment fails, especially with handheld brackets. Keep in mind that using saved converted files instead of the original raw files may produce slightly different results.