Thanks for your reply Bryan, i had made that mistake in the save option a couple of times but not on this image.
I have this AM downloaded the latest LR4.x and this is now giving me a dialog giving me the option to allow LR to render image because the version of camera raw i have in PS CS5 is not fully compatible, looks like the day i have to upgrade to CS6 is looming near.
This technique is giving great HDR (natural look) and it was worth cost of the LR4.x tutorial for this alone.