Did you try looking for the Setup icon (the magician's hat and wand)? Menu > All apps > Setup and follow the instructions.
If you don't get any further that way, try this...
Menu > All apps > Settings > Accounts & sync > Manage accounts. If there isn't an HTC Sense account in that list, press 'Add account' and select it from the next list and follow the instructions to create an HTC Sense account on your phone with the same details as the one you created via your computer.