Re general ROM installation etc, have you read the guides? The red link in my sig will take you there, or just look at the sticky posts in this forum.
The ROM you've linked is a Sense HD port, so you will need to partition your SD card as described in that thread. There are instructions for this in the root memory guide (see above).
I could type a detailed step-by-step here, but the information is in the guides, and you do need to understand if you are to avoid problems. But as an outline, the main steps are:
* partition SD card (see root memory guide). Back up your card completely before doing this, as it will erase the card. If it is a goldcard, you'll need to re-gold it afterwards.
* back up everything: both app and data backups (Titanium Backup, and a separate backup for SMS will be easier) and nandroid backup (backup made from recovery). If it goes well you'll need the app and data backups, and if it doesn't you'll need the nandroid
* put ROM zip on SD card.
* Wipe the phone (full wipe/factory reset option in recovery).
* Install ROM (install zip from SD card option in recovery)
* reboot, restore your apps from backups, but do not restore system data.
* If there is a problem, you can always go back to recovery and restore the nandroid.
Also do not use ROM Manager for any of this. I know that Lee's thread mentions it, but it's caused so many problems on the Desire, including some very nasty ones, that we have to advise Desire users to avoid it.
Edit: Of that particular LeeDroid ROM's version, I believe A2SD++ is the one you want. I assume you want the Sense HD version - otherwise there's a different LeeDroid ROM with Gingerbread but the original Sense (different thread).