Menu->Settings->About Phone

Look for Build Number and Android version.

I'm wondering why are you getting the Froyo OTA notification as you seem to be running on a non-Nexus stock ROM. To make matters stranger, that .zip file is actually an older version of Froyo, FRF85. If it's an official OTA, it should be for FRF91. The only way that this could happen is that you're already on a more previous version of Froyo (FRF83 and below) and your ROM carries an AT&T signature, which both conditions are impossible based on the info you posted above. Anyways, I strongly advise you not to flash the .zip file to your Desire as it seems the origin is too suspicious and you'll risk bricking your set. Until it is proven otherwise by other Desire users, it's better to be safe than sorry. That's my 2 cent.

Yes, paid market access has nothing to do with the phone OS version. It depends on whether the Telco you're on is cleared by Google to access paid content.

And those with rooted sets, bear this in mind. You might lose root privilege if you update through the OTA. That's if you get it to run it at all. OTAs have this knack of refusing to install if the phone has custom recovery or custom ROMs. If you want the OTA, you might need to revert to stock ROMs and stock recovery. And those with unrooted sets with plans to root, the OTA most likely will carry a newer HBOOT. So, previous rooting instructions may not be applicable anymore. You'll need to wait for the devs to come up with newer rooting methods (which wont take long anyways).

And to all Desire users, have fun with your official FroYo. I hope you guys will get by next week (if HTC doesnt screw up).

Now N1 users can get the Desire Froyo source and tweak the FM chip.