For controlling / using a receiver directly from HDSDR you need to install the receiver's ExtIO DLL.
Visit your receiver's website (see below!) and get the appropriate DLL file archive (ZIP).
Most sites refer the DLL as "Winrad ExtIO". It will be compatible with HDSDR.
Unpack all files from that archive into the installation directory of HDSDR
f.e. C:\Program Files (x86)\HDSDR\.

Any (monoband) receiver with output to soundcard can be used in HDSDR without any ExtIO DLL.
In this case, HDSDR will not be able to control the LO frequency.

Please report not listed but functional ExtIOs to keep the above list complete.