First you would need to change the MIDI playback device to whatever corresponds to your sound card's soundfont-enabled output. On my system, this is "SB Audigy 2 ZS Synth A". I think it's normally named as something which mentions the actual sound card.
Then, you'll need a program to load the soundfont into memory. This is normally provided by your sound card manufacturer on an accompanying disc.
Of course, this is all assuming your sound card is soundfont compatible. Moreover, this is also assuming you even have a sound card. Peruse this list if you're struggling on that front:
SoundFont - Wikipedia, the free encyclopedia