This update is currently being rolled-out OTA, so you will get a notification on your Desire HD to update your phone. You can also manually check for the update by going to Settings> About phone> Software Update
This update is over 230MB is size, so connect to a Wi-Fi network before downloading the update else you might incur significant data charge.
There is no official change-log available, but this update said to bring performance improvements, native screenshot capability and bug-fixes. This update will also bump your Android version number to Android 2.3.5 and update Sense UI to version 3.0.
Update: HTC has stated that there are some technical issues with the update and they will be sorted out soon, so if you are not getting the update be patient.