Take a look in the MIDI/Audio menu.

I suppose that the menu item “Play Finale Through MIDI” is selected, right?

What happens if you choose VST instead?

 I chose Play Finale Through VST!

That is odd, since the SmartMusic SoftSynth normally is used when playing Finale through MIDI.

Please specify the steps you've already taken, so that we can rule out things.

Have you e. g. tried Reassign Playback Sounds?

(MIDI/Audio menu > Reassign Playback Sounds)

Are the Garritan Sounds loaded on your computer?

If you upgraded from an earlier version of Finale, did you skip re-installing the Garritan Sounds? (If so, you should re-install them.)

The installer file has two installers. If you are authorizing the demo, that second installer file is not there. You have to log into your MM account to download the current file that contains both.

Many close that second window thinking that they've already installed. It's confusing and MM should fix it—but they haven't. Run the installer again and make sure you run both. This should fix you up.