It does indeed come with a card and it isn't an option. All the data for the radio is stored on the card.
UPMan or someone else may be able to better answer, but I would imagine you can create a new setup from scratch using any old microSD card. In fact, I'll try to do so right now with my own.
I put a blank 2GB card in one of my HPs and powered it up, and I get the "error" message on the screen suggesting that I remove power and restart, and if the problem persists, to reset the scanner using Sentinel's All Clear function.
After messing around for a bit, pulling the power (leaving the batteries out) and the card and putting them back in, with a USB cable connecting the scanner to my PC, I managed to get the HP1 to go into Mass Storage mode. From there, I had to go into Sentinel software, then the HomePatrol menu, then "Clear User Data" (it's not named All Clear in the software, of course).
Once you get to the "Clear User Data" screen, you will probably have a blank window titled "Select HomePatrol microSD". Click on the "Display All Drives" checkbox at the center bottom and the microSD card you put into the HP1 should show up.
Click "OK", and OK or Yes to the following two dialog boxes that warn that your HP1 will be erased if you proceed. You should then get the "Writing to HomePatrol" window, with the green bar showing progress.
After a couple of minutes, the progress bar finished and "Finished Clearing User Data" came up. I then disconnected the HP1 from the USB cable, and it started up as if it was being run for the first time.
That should get you started. For interest's sake, I have successfully used up to a 32GB microSD in my HP1 radios.