The phone does not have the proper APN mobile data settings for Rogers since it has the Telus settings. What you need to do is alter or delete the Telus settings (a factory reset wipes it too) and enter the Rogers settings manually. It's easy, but you have to make sure you type it out correctly or you won't get a connection.
To enter them, press Menu, Settings, Wireless and networks, Mobile network, Access point names, press Menu, Add or New APN.
These settings are directly from Rogers' Redboard forum and it works on my Desire on Rogers:
Rogers Access Point Settings
- APN: rogers-core-appl1.apn
- Proxy: <not set>
- Port: <not set>
- Username: <not set>
- Password: <not set>
- Server: <not set>
- MMSC: http://mms.gprs.rogers.com
- MMS Proxy: 10.128.1.69
- MMS Port: 80
- MCC: 302 (retrieved from SIM)
- MNC: 720 (retrieved from SIM).
- Authentication type: <not set>
- APN type: <not set>
Any other settings you see you can ignore. Make sure you press Menu, Save, then tap on the little round button at the right of the Rogers name to highlight it which enables the new APN setting. It will take a few minutes to get a connection as it needs to authenticate you.
Once you get it up and running, you'll have 3G/HSPA data, but you may not have EDGE/GPRS when out of the 3G coverage. To fix this, you need to flash a generic firmware on the phone like I did to get full coverage. You can also update to Froyo v2.2 doing this and get updates directly from HTC instead of Telus. See this thread for details:
http://androidforums.com/htc-desire/148932-froyo-ruu-update-available.html
Make SURE you create a working goldcard from your included memory card first, and it will work fine.