I'm running OllyDbg under WinXP Pro, but for some reason when I open the Debug/Hardware registers dialog, everything is grayed out. Viewing the debug registers in the register pane shows them all zero'd with Dr6 == 0000200C. Thinking that perhaps OllyDbg reserved the HW bp registers when "Use HW breakpoints" on the Debug tab is checked, I tried it both ways with the same result.

Can someone tell me why I can't set HW breakpoints?

to put a hardware break point you select the command in cpu pane
and right click on it
you will see break points
if you select it you will see some seven options
like toggle break point,memory break point (read ,write,access)
harware break points on execution etc
if you think you need execution break point you click hardware on execution

there you will get your bp
only four no of hw bp are allowed
if you need more you need to delete one of the earlier and set a new one
for deleting you need to go to view ,debug registers (it will be filled with four delete the one you dont want to set a new one )

if you need hw break point on read ,write ,or access you need to select data area in dump and right click

hope it is what you were searching

Exactly what I was looking for. Thank!

Just a side note ... the "HW breakpoints" dialog might _not_ reflect the actual state of HW debugging registers.

I had that issue when injecting custom code (dll) into a debuggee, which was setting up HW bp's itself.
If the debuggee breaks due to some condition, the dialog doesnt decode/show the HW breakpoints for the thread (when set not by ollydbg itself) - although the register pane shows Dr0,1,2,3 and DR7 (control register) with valid values.