Hi Musicman22
1. From the file menu choose audio and Midi settings
2. Select Sound Card
3. Set interface to ASIO (If you do not have any ASIO drivers you can download some universal ones here http://www.asio4all.com/ )
4. Set Output device to the appropriate ASIO (you can adjust the settings by clicking the ASIO config button)
5. Click Routing
6. Make sure your soundcard is selected in the list
7. Click Midi
8. Make sure your Midi Interface is selected

To load a sound:
Navigate to the sound you want and then double click it, you should now find everything is active, and you can play the sound.
Hope this helps

Bill