HD Radio reception can be finnicky. It's digital, so it either works or it does not (where analog will fade) and currently the FCC does not allow the digital broadcast to be as strong as the analog counterpart.
First- are there any specific stations you know are broadcasting in HD? Go here first to confirm:
www.hdradio.com . On that note- does the HD indicator blink at all? If it does and just never locks on, that means the HD signal is too weak to get a lock.
Second- are you using the included antenna- if so, do you have it fully extended, as high as it will go?
Third- where is the unit? (geographically and in the house). Is it on the ground floor? And where do you live? Middle of the city? Suburbs? etc etc.