HoMM3 HD is a mod (add-on) for the game Heroes of Might and Magic 3.

After installation, a file named Heroes3_HD.exe should appear in the game folder.
Create a shortcut for it and place it on your desktop.

Don't mislead people. And if you're providing information, make it as accurate and correct as possible.
In the HD3Launch.exe program window, click Create Shortcut and you will get a shortcut named Heroes3 HD3 if you select the Heroes3.exe executable file from the Executables list.
After clicking Create HD.exe, you will get an executable file named Heroes HD.exe, which can be renamed and used in Gameranger.
baratorch, you need to standardize the different names of the shortcut and the executable file (Heroes3 HD3 and Heroes HD.exe), and add the word Shortcut to the shortcut (and those who need to, can correct it later).

Where can I read about all the features of HD Mode in detail?

Respect the work of others. At least read the signature from the previous post by the mod author baratorch. And when the new version is stable and polished, there will be information in the first post.