For a Direct Connection into your amp's power amp: the Cable hookup is

     Guitar --> HD500 In

     HD500 Left 1/4" Out --> Amp FX Loop return

The Amp FX Loop Return may also be labelled as 'Power Amp In'.  Make sure that the Amp Loop is turned on.  If the loop has a switch allowing you to choose between stompbox level (-10dB) or line level (+4dB) then set it to line level. 

Note:  You may (or may not) need a 'dummy' patch cable plugged into the Amp FX Send/Pre-Amp Out socket to make the loop work.  The other end of the cable is not plugged into anything.

If the amp has a 'Parallel' Loop then turn it to 100% Effected/Wet.  Some Parallel Loops (e.g. Bognor Alchemist) always have a mix between effected and uneffected signal even with the parallel loop level at 100% and these can cause problems with your tone.  Most effect loops are still 'Serial' and these tend to work better with MultiFx.

The HD setup goes

• 1/4" Out switch = 'amp' (if the output is way to quiet then you may need to go up to to 'line')
• Master Knob = 100% on. 
• Output = 'Combo Power Amp' or 'Stack Power Amp' as appropriate (this is found and changed in the HD System Settings)
• Normal/Pad switch  = 'Normal' unless you hear unwanted clipping distortion then turn to 'Pad'
• Mixer panned centre at 0dB.  Increase the volume until the level seems about right
• If your guitar pickups are very hot and you hear 'unmusical' clipping distortion then you might want to set your input settings to Input 1 = Guitar, Input 2 = Variax

You would nearly always want to use an Amp Model turned on.  Without one the setup will sound very dead.  Start by using a 'Pre' model (listed after the full amps in the list of amps) and see how that sounds.