Right - MIDI IN goes to MIDI OUT and vice-versa.
Read the section in the Help menu on Instruments. An INS file will make it easier to control, but I'm not sure is there is an FB-01 for that antique, but you might find one on the web somewhere. If not, just select a different patch number and you might get a different sound. Note: the FB-01 can only play one sound at a time. It is not multi-timbral or General MIDI. If you need General MIDI capability, use the TTS-1 softsynth.