After "legitimately" rooting an HTC phone, how do I get SuperUser to work?

I went through HTC's official rooting steps which I've discovered is unusual because it means I didn't instantly start with a special rom that has SuperUser installed by default. I installed Superuser from the Play store, but when I run something like SetCPU, I just get "SetCPU can't get root permission. Make sure to set it in superuser." I don't get the promised sudden prompt from SuperUser. Is there a special way to install SuperUser that I should be using?