I have a Desire HD running a custom rom: Android ICS 4.0.4. I ran USB Host Diagnostics software and connected my camera through a USB OTG cable but the phone does not detect the camera. I am thinking the ICS rom that I have on does not include the USB Host drivers. Can I install them on my phone in any other ROM or do I need to install a different ROM?
This doesn't belong here, but that aside...
You don't really "install" the drivers. The framework needed for USB OTG is often found in custom kernels, you should be looking there.
This question is also probably best asked on the forum thread of the custom ROM you flashed. A quick look at your device's forum on XDA shows a fully working stock-based Custom ROM that supports USB OTG out of the box.
I'd start with that.