Sense is HTC's proprietary user interface (or UI) that is added to the Android operating system by HTC. Almost all manufacturers have their own UI that is added to Android to make their product different/better than the competition. Samsung uses Touchwiz. Motorola uses MotoBlur. HTC uses Sense. There is nothing extra that you need to do. It's built into the system. If you would rather use something different there are several launcher replacement apps that allow you to use a different interface. Removing Sense entirely is rather difficult and not for the less technical of us.
Personally, I like SenseUI, but it is a resource hog. Many prefer Senseless roms.
*Sent from work early bcuz some1 4got teh NSFW tag*