EDIT 2010 : the instructions below work on my phone, (and on many phones), an unbranded original HTC Touch Pro (Raphael/Fuze). If this would NOT work on your phone, there are a lot of comments below (thank you), with different ways to reset this phone, that worked for other users. Good luck.
Hard resetting your phone is like reinstalling windows on your computer, and chosing to format your windows partition. It will wipe out all data of your phone, your messages, your contacts, pictures, xls data, everything. Except what’s on your memory card.
So before you hard reset your phone, backup your data. Some tips :
1. Backup your phone with PIM backup (messages, contacts, …)
2. copy your pictures etc either to your computer, or to your memory card
3. If possible, sync mail, tasks, calender, contacts with either your exchange server, or outlook, or …
To quote pda4x.com :
1. With your phone on. Pull out your stylus.
2. Hold your Touch Pro upside down.
3. Press and Hold the VOLUME DOWN and ENTER buttons, then press the RESET button with the stylus tip till message appear
4. To HARD RESET, Press the VOLUME UP button to perform the hard reset, or else press any other button to cancel.
5. Then just follow all the screen instruction to continue…