[DrNickBurton]

Are you shooting RAW? If so, with that sensor you should be able to pull back about 2/3rds of a stop of highlight detail using a recovery tool in processing. If you shoot Jpeg though, you throw this headroom away.

Another thing to try is Nikon's Active-D Lighting feature (you'll find it in the menus on your D5000 somewhere). This works by slightly underexposing the overall shot, then slightly amplifying the exposure of the darker areas. It's a good option for keeping the highlights under control in high contrast conditions. On the downside, it can introduce a small amount of noise (nothing worth getting overly concerned about though).

Oftentimes (depending on the light), these two measures are enough to avoid losing highlight details. For everything else, dial in a little exposure compensation like mentioned before.