HTC has started rolling out Android 2.3.5 and Sense 3.0 update for Desire HD users in India today. Company just posted on its official Twitter and Facebook accounts confirming the same.
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.