Let me take you through it:
For the sake of this post, I'm creating an action that I'm going to use for making 'fake' HDR images out of a single image. (I'm using the Apply Image technique)
First open the Actions under Windows > Actions. Then go to the bottom of the screen and click on New Action.
Give it a name and press Record to record all the actions you need to get the effect you want. In this case a 'fake' HDR.
When you're done, click on the Stop button in your action panel
Under your newly created Action you can see all the steps.
So next time you want to apply this technique, just open your Action panel and run the action. It's as easy as that!