i was wonder do these programes work for any site?

and how can i used them effectively ?

HUDs work on most sites. Basically any site that automatically writes hand histories to your hard drive allows you to track hands. You can check the websites for HEM and PT to see which networks they officially support.
Leak-finding can be done in a number of ways. The leak finder built into HEM is an "evaluation version". It only looks for leaks in a few spots, such as SB VPIP and certain "trouble hands". If you pay for the full version, it can do a thourough analysis and recommend ways of improving your game. Even without leak finder, you can run reports and use filters to look through your database of hands to see where you're losing money or missing value. Various threads on 2+2 have detailed the sorts of things you can look for by running filters.