I have just fixed my proximity sensor issue. I watched the 'how to dissasemble HTC Desire HD' video on youtube and once I had the case off I could see the problem! The whole of the area under the speaker grill was absolutly covered in dust and dirt! I'm suprised I could still hear anything through the speaker let alone the proximity sensor working! I carefully cleaned the whole area and while I was there I removed, cleaned and re-attached the speaker too. Put it back together and problem solved!