If i'm not mistaken the HDD is like a cartridge that you pull out of the headunit and hook up to a pc via firewire or usb cable. I haven't actually used one, so i could be incorrect.

The older units that use the MusicJuke HDD feature have a 20GB drive that can hold up to 3000 songs and it also has a memory stick slot.

Here's some more info:
http://www.eclipse-web.com/avx/avx_special.htm