Ah, OK, the image helps a lot. Sibelius 7 does see KP5 as a VST, but it doesn't see it as a Kontakt device ("Type" field under Available Devices). If it doesn't see it as a Kontakt device, it won't give you "VDL SoundSet 6.0b" - or any other Kontakt sound set - in the Active Devices sound set drop down menu (double click to access the list).
If you can use Kontakt 4 Player, you'll still probably need to do some
Registry tweaks to get Sibelius to see that VDL is installed. You may want to contact Native Instruments for a KP4 installer, or see if you can get assistance from Tapspace by submitting a support ticket there.
The sounds you are hearing are coming from the General MIDI sounds that are part of Windows. Once you get the VDL stuff setup, you'll find these to be sub-par at best.
Each instance of Kontakt Player will hold up to 16 patches/instruments at once. You are more than likely not going to need that many instances activated at the same time.
Here is the
list of folder options for placing the sound set XML file.
Let us know how you get on.