The update will reach your phone over-the-air, and the handset will notify you when it's available. It's a 99.68 MB affair, so if your mobile data plan is capped, you should probably make sure you're downloading it via Wi-Fi.
If you have rooted your Desire HD and/or are running custom ROMs on it, the update notification probably won't make it to your device. Then again, if you are using a custom ROM, it's probably been based on Gingerbread for quite a while now (since unlocked and unbranded HTC Desire HD smartphones have been getting the update for more than a month).
This update will not bring the Sense 3.0 (a.k.a. Sense 3D) UI, as seen on the HTC Sensation, to the Desire HD. It will however make your smartphone run the latest version of Android, and that should be good enough for most.
source: Unwired View