Writing a letter

Hi,
I am not sure how I should start when I write a letter to someone or a cover letter for a new job. When do I use DEAR...? and when do I use "To Whom It May Concern"? ex: When a company asks to send a resume to the HR Department specifically, do I start out with Dear HR? To HR Dept.? Or To Whom It May Concern? Please advise.
Thanks