Assumed that your game mode file(called as MyGameMode.h) is in Source folder, so you have to include HPCharacter.h, and declare like below.
#include "HP/HPCharacter.h"
AMyGameMode::AMyGameMode()
{
DefaultPawnClass = AHPCharacter::StaticClass();
}
For either FObjectFinder or FClassFinder, these are used to find Blueprint layer from the game folder, aka Content folder in the project.