Desire HD GPS can't "lock" on a satellite?
I advise you to use the application GPS test, where you can see (in a bar chart) the satellites your device sees and how good the reception is for each satellite. 

If the GPS of my device is working, the first satellite shows up in less then 5 seconds or so. Then I gradually see more and more satellites appearing, with a lock taking something like a few minutes (or much less).

If my GPS is not working, no satellites appear, not even after 10 minutes or more of waiting. (However, take care, as the app does sometimes show old satellite charts, but you can easily see this because the reception values for each of the satellites remain constant, while they normally change every second or so) 

And yes, the GPS icon stops blinking once it locks on a position. That's when the latitude and longitude values are available.