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It's difficult for me to say what the problem is because it works for me (and not just for me).
Try launching the game again. If, when you right-click on a garrison on the map, the window is square and the colors are incorrect, then it's not HD. But if it's rectangular and the colors are correct, and if when you hover the mouse over the hero's portrait in the Adventure Manager, the movement points (2.57) are displayed in the status bar, then it's HD 800x600.
When you launch Heroes3HDSetup.exe, the _HD.exe files are created automatically, but the changed resolution is only applied if you click Apply and Launch or Ok.