By default, the backlight of the hardware keys on the HTC HD2 stays on for the first ten seconds after waking up the device, after which the light goes off and does not come back untill one of the keys is pressed or the device resumes from standby the next time.
In order to access the hardware buttons more easily and not guess where their location is, KeypadLedControl will modify the behaviour of the key backlight so that it stays on as long as the backlight for the screen is on. All you need to do is extract the executable from the archive, place it on your device and run it once to activate (and run it the second time to deactivate). To have the behaviour as default, place a shortcut for the app in WindowsStartup an you no longer need to worry about it.
Thanks for the tip, hvoltage!
(Source: XDA Developers)