HRTFs would have to be computed in software before they are sent to the soundcard. Check if the program has some sort of render latency setting.
"Support" for HRTF would mean that the soundcard would be able to load the HRTFs into DSP memory and perform the filtering there. To my knowlede there is no such card. The Aureal cards were able to use HRTF through onboard hardware but I don't think you could load new HRTFs.
To learn more about HRTFs in games you can go to
http://www.am3d.com and checkout their explanation. You can also download Diesel Studio and try some real time renderings. If you have Hitman2 you can also get a patch to add HRTF generated 3D sound to the game.
HTH
Soeren