1. Turn your desire off, Now hold the volume down and power button in to boot into hboot.
2. Now use the volume button to navigate to boot recovery and select it by pressing the trackpad button.
3. If you followed the steps above correctly you should now be on a screen called ClockworkMod recovery.
4. While in recovery and before installing any roms or themes ect i suggest you take a backup now this will ensure that anything goes wrong you can always revert your device back to its current state. To do this select the backup/restore option and select backup. Do not touch your device while it is backing up when screen says complete just select reeboot device option. Your backup will be saved on your sd card i suggest you copy it to your computer aswell for extra safety. You are now ready to flash a custom ROM see my how to flash a rom on desire post below.
See my other posts below on how to install a custom rom.
How To Boot Into Recovery Mode HTC Desire