The "how" may vary from one individual to another. Basicaly you need a soundcard synth or a dxi synth that can recognize "soundfonts". To enable them as a "bank" source you first need to have them in a directory on your machine. Then go to OPTIONS>Soundfonts and attach a particular soundfont library. Close the options. If you have a soundcard with a soundfont compatible synth built in it you can open a bank of soundfonts of your choice, providing you have it attached, then pick the instrument out of that bank. If you have to use a DXI synthy, open one with at least it`s first audio output. Direct your output on a particular MIDI track to the dxi synth. Select the input on the DXI audio channel as to the source of the track, which will of course be the output of the DXI synth.
As Paul metioned above, the actual options, usage and the various peculiarities are way beyond space here to type. The help file should get you going. If there is a specific problem you can post it here.
Be sure to provide the computers OS, speed, memory, the soundcard, recording software your using, along with the problem. That way you can most likely get help much faster.