I can't figure out how to add / remove device admins from my HTC Desire running Android 2.2
Where in the settings screen is this feature located ?
Any help would be highly appreciated.
It should be located under Android Settings > Location & Security.
But you need apps that support this feature in order to make full use of it. If you have a Google Apps or an exchange account your admin will be able to use the corresponding features like password reset etc.
Certain apps (examples: Llama / WidgetLocker / WaveSecure) when made as device administrators are then allowed a higher level of access to system features.