There are many apps which will help with rooting Froyo. The two I have tried are:
Both cases require USB Debugging enabled.
z4root did not work for HTC Desire HD.
Note of caution:
Rooting has a few risk just as going into operation is risky. If it works, it is fine but when it fails, there are a lot of complications. It is good to have a copy of your ROM so that you can flash back should you need to or have a service center close by to help you.
Reason for rooting
I rooted my device because I have had to reset my device a few times due to problem with the contact synchronization. Each time I had to reconfigure everything. To reduce that need, I wanted to perform a full backup of the device without rooting.