HSDPA (High-speed Downlink Packet Access) and HSUPA (Uplink) together make up the HSPA standard.
When HSPA was first introduced it was referred to as HSDPA as the uplink speeds weren't fast enough. However there was a big commotion about this and when hardware manufacturers adopted the 7.2 Mbit/s upgrade they started branding their devices as HSPA.
Usually mentioning HSDPA only means the handset supports HSPA @ 3.6 Mbit/s.
HSPA+ stands for Evolved HSPA, this furthers the speed to 21 Mbit/s.
They are all compatible. Only mentioning HSDPA simply means the handset does not do uplink at high speeds.