Well, there's no sort of rhythm sounds on the HD400, or any of the HD products for that matter. So, yeah, you'd have to get those elsewhere. It doesn't have to necessarily be a drum machine, though. There are a lot of software drum packages available now.

To try to be actually helpful, I would also recommend taking a look here:

http://line6.com/support/community/free_stuff/backing_tracks

If you put these on a computer, CD player, iPod, etc. that can play them, you can play along with them. You could either run them through their own speaker, or through the HD400's CD/MP3 Input.