Hi Nick. The Playback Devices dialog looks correct, except for the obvious lack of Kontakt devices. (The templates I'm developing are designed to not use any Manual Sound Sets. This is a good thing.

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Just to double check, make sure you have copied all of the .dll files from:
C:\Program Files\Native Instruments\Kontakt Player 2\VSTPlugins
and
C:\Program Files\Native Instruments\Kontakt 4\VSTPlugins 32 bit
and pasted them into:
C:\Program Files\Sibelius Software\VSTPlugins
Can you now show me a picture of what's inside your C:\Program Files\Sibelius Software\VSTPlugins folder? I attached a pic of what mine looks like (from my XP machine). Again, make certain that both the KontaktPlayer2 and Kontakt 4 .dll files have been placed there. Then...
Open your "Playback Devices" window in Sibelius, click the "Audio Engine Options" button, and verify that this is the same path to your "Virtual Instruments and Effects Folder." If that doesn't match the path to your Sibelius Software>VSTPlugins folder, click the "Browse" button to redirect it to that location. After doing this, quit Sibelius, then relaunch, go into Playback Devices, and check to see if KP2 and KP4 appear as available devices.
Your version of XP is 32 bit, correct?