HDCD has to be decoded in the first conversion from digital to analog, once it is analog the extra information is lost. So either your CD/DVD player can decode it and you listen via the analog output from it, or you pass it via digital (TOSLink or Coax) to a receiver that has an HDCD decoder in it.

I think a well mastered HDCD disk sounds a little better, and I know a lot of people making DVD-A and SACD discs use HDCD in the process.