I was recently asked to do a tutorial on how I fix Halos in Photoshop. I could very easily have started there, however, I feel it is important to understand the culprits of the halos in Photomatix. Your best defense against a halo in post processing is to avoid them altogether.
Episode 1 of Halos and HDR will cover how you can avoid the haloing altogether to achieve a great HDR image. I also polish up the HDR tone mapped photo in Adobe Camera Raw.