At work, we've been working with the HP t55xx series thin-clients, mainly for one of our customers.
This article contains some things we've found to be very useful. It is not a real howto, but rather a collection of smaller items, telling you how to do certain things, and those things are not easy to find in the manuals.

There are 4 ways to reset a t5530 to factory defaults:

1. Open Control Panel, open the System applet, then click on the button that says Reset.
2. When powered off, press and hold the F9 key on your keyboard, then power up the device, and keep it pressed, until the system has booted. You will be greeted with the first-run wizard again. Note that this does not work if the F9 key was disabled (e.g. by the sysadmin). Also note that certain settings, such as automatic startup of the connection manager does not seem to be reset on all devices (according to a client of ours).
3. Download and install the latest firmware image from the HP website, and write it to a USB stick or external USB HD. Connect it to the thin-client, then boot with it. For this to work, you need to have Boot USB device turned on in the BIOS.
4. If none of the above things help, contact HP support to repair the damn thing.

If method 2 (pressing F9) does not work, and you are sysadmin, you can re-enable it by going into Control Panel, Security, then verify the Enable Reset Hotkey is selected on the System tab. If it's checked, the reset will work by holding F9 at boot.