(This is a multi part article. The other parts are here: Part I, Part II, and Part IIA.)
The four tabbed panels below the histogram in Photomatix's Tonemapping screen, are Tone, Colour, Micro and Shadow/Highlights.
Tone works exactly like Levels in Photoshop.
Color fine tunes, via the Temperature slider, the WB set before the HDR was generated. Color also gives control of the saturation in the highlights and shadows, and this may be set together with readjusting the overall saturation, as set by the slider in the panel above the histogram.
Micro is a refinement of the Light Smoothing parameter set earlier. I usually set micro contrast for maximal details, and with a moderate amount of smoothing.
Finally Shadows/Highlight does smoothing which reduces noise in the highlight and shadows. Usually for me only that for Shadows is set, and the amount depends on the amount of noise vis a vis details in the shadows in the generated HDR. Large smoothing factor reduces details as well as noise. I find no need for Highlight smoothing nor shadow clipping, and both are set to zero almost always.
And that is about done for Tone Mapping, except for experimenting with other settings, such as Temperature, or Light Smoothing or Strength to see if you can make a different or better HDR picture.
The final step is to save the file as a 16bit TIFF for the post HDR processing, which will remove artefacts, noise and chromatic aberrations. Again you dont want to save the image as a JPEG, at least not yet.