Any samples you load in from disk will appear on the SAMPLE page, starting at ID#200.  
If you hit the Preview button, that individual sample will placed in a keymap.  You don't mention which Kurzweil keyboard you have but depending on which model, there are some automated utilities for mapping multiple samples, or you may have to do it manually.
Let me know which instrument you have and what OS, and I'll take you through the rest.
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Mike Martin
Kurzweil Music Systems
Visit the Kurzweil Connection  
http://www.kurzweilconnection.com  and KeySolutions Sample Libraries  
http://members.aol.com/keysolutns