EDIT 2: BACK UPP ALL YOUR DATA FROM YOUR MEMORY CARD FIRST!!!
EDIT 3: How did I find this out? I talked to a very helpful HTC suport rep (yes they do actually exist in Sweden). He helped me do these steps and so I thought I should share this.
Ok so you got a message that 2.1 was available for your Hero - FINELY! and you installed it using OTA. And then you got a triangle with a ! in it and you rebooted and all it says is "HERO".
This is how to solve it!
Take out your memory card. FORMAT TO <span style="font-weight:bold;">FAT32</span>!!!
Download the RUU 2.73.405.5 from HTC support homepage
Run the installation.
When it fails to find your phone <span style="font-weight:bold;">DON'T EXIT!!!</span>
If you are using Windows 7 go in to c:\Users\<span style="font-style:italic;">yourusername</span>\AppData\Local\Temp
Search for ROM.zip
Move to desktop
Rename to HEROIMG.zip
Transfer to your newly formated memory card now with FAT32 file system
Put memory card into phone
Start phone holding volume down pressed.
It will now check zip fil and then ask if you want to install.
homekey for YES
After installing you have 1.5 again and can safely upgrade to 2.1 OTA