Hi Kieran
The
sfz+ is a soundfont player.
You can use it to play either
.wav (wave audio) files or
.sf2 (soundfont) files.
Do a search on Google for some free soundfont files and download them to a folder on your computer. To load the files into sfz+, click inside the File area of the interface, navigate to your soundfonts and select one to load it. You can audtion the sound/s in the Piano Roll View as you would an ordinary softsynth: