How to make this effect on Photoshop?

This foto was taken with an iPhone, and then edited with the iPhone filter program. But I love how the sjy looks, and I've seen more pictures with the same filter and the sky looks really great with those colour contrasts. It looks like a saturation, but it isn't (at least I couldn't make it). Do you know how can I apply that effect to the sky on this picture? I'd like to use Photoshop for a better result.

It looks like a really bad HDR job. I love skies and like the sky in the photo but the foreground and the building are much too dark:-( A lot of these kinds of effects are made with commercial plugins (Photomatix or Topaz Adjust). There are some freebies (Luminance and Picturenaut) but I haven't used them in years. Here are some tutorials for Photoshop.
http://speckyboy.com/2009/03/25/19-tutorials-for-creating-beautiful-hdr-high-dynamic-range-imagery/

Here's a tutorial showing how to use Luminance with 1 photo (most HDR images are made wtih 3 or more photos taken in a range of exposures). You can make adjustments with Luminance to add more saturation and contrast.

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