what you need are "media profiles". This includes an icc within them, but are only useful onboard the printer. You don't, in fact you can't use them on your computers.
There is a simple method in the web interface for you printer to upload the media profile you get from HP.
If you are using a media that does not have a media profile, and you have to use an ICC alone from another media vendor, be sure you know what media setting on the printer is paired with the icc.
Keep in mind that most jobs should be color managed on board the 5500, not at your workstation. There are common exceptions, but most folks would be best served to keep it simple and use an on board media profile.