Windows Mobile 6.5 is the built into device, in order to change it to Android, you need to hack into it.
I believe the Android build for HD2 has only recently been released.
Anyway to do this, do some googling to find the site where the instructions for it are.
Short answer: You can't just use a program to change it. You need to root your phone and swap the operating system to Android, via an unofficial, user made hack.