Instructions for setting up VDL for use with Finale should be included in the VDL manual. Essentially, you're installing Kontakt/Kontakt Player, making sure that Kontakt sees the VDL library and runs in standalone, and that Finale sees Kontakt. Understand that the newest version of Finale is 64-bit and requires Kontakt 5. If you're certain that you've installed Kontakt correctly but Finale does not see Kontakt (it's not listed in available devices in the Score Manager), then check which version of Kontakt has been installed.
After you're certain that Kontakt, VDL, and Finale all work together, review the Template Read Me and place all of the Finale files in the package in the correct locations.