Hello jjmus!
Here is what you can dow.
PC: To activate Vienna Ensemble in Finale go to MIDI/Audio/Device Setup/Manage VST Plug-ins and add the Plug-in directory, where your Vienna Ensemble.dll is located. Then in MIDI/Audio/Instrument Setup/VST Instruments choose Vienna Enemble. The Vienna Ensemble window, where you can load your instruments, will open automatically. Also make sure that in the MIDI/Audio menu "Play Finale through VST" is activated.
Mac: In MIDI/Audio/Instrument Setup/Audio Units Instruments choose Vienna Enemble. The Vienna Ensemble window, where you can load your instruments, will open automatically. Also make sure that in the MIDI/Audio menu "Play Finale through Audio Units" is activated.
If you haven't done so yet, I recommend downloading the Finale Human Playback Preferences and Percussion Maps at the following location:
http://vsl.co.at/en/68/141/460/1603/1290.htm
With the Human Playback Preferences file also comes a readme me file with infos how you can use Vienna Ensemble with Finale.
Best regards,
Andi