How to connect my HTC desire, Android phone to the Ad Hoc network?

Adhoc connections are currently NOT natively supported by Android.

Refer the below given source links for the available alternatives:

desire-adhoc - Android app to create / join an ad-hoc network - Google Project Hosting (http://code.google.com/p/desire-adhoc/)
HOWTO connect an HTC desire to an ad-hoc network | stefan ott (http://www.ott.net/knowledge/htc-desire-adhoc/)
Connect to your computer via ad-hoc network with Splashtop Remote : Splashtop Remote - Support (http://support-remote.splashtop.com/entries/20950653-connect-to-your-computer-via-ad-hoc-network-with-splashtop-remote)