Start here.

https://makemusic.zendesk.com/hc/en-us/articles/225103168-Using-3rd-party-VST-AU-libraries-with-Finale-and-PrintMusic

It's also in the Help files. Macs use AU and not VSTs but many (most) commercial VI libraries come both ways.

You will need to purchase these sounds unless you are lucky enough to find the exact ones you want for free. NI Komplete/Kontakt, SampleTank, UVI, Garritan and others have sample libraries and synths. There are freebies out there. Also user groups for getting the most out of these sounds. I am not going to make any recommendations in that regards. Google is your friend. Expect to listen to a lot of sample pages.

Finale is limited to importing one audio track and its output is limited to a mono or 2-track stereo only. For anything else, you can sync a DAW such as Logic Pro with Rewire (see the Help Files how to use it). This way, your score plays and the DAW plays along.

You can also export your Finale project via MIDI or MusicXML, open it in a DAW such as Logic Pro X ($199 in the App Store) and assign your sounds there. Commercial DAWs often have a lot of available sounds (Logic has a ton plus some synths) that you can download after purchase. You cannot use these proprietary VIs in Finale but having imported the MIDI or xml, now they are all available to you. DAWs give you more control over the sounds.

To be a little clearer on that point, you cannot use Garritan Instruments for Finale (GIFF) in a DAW like Logic and you can't use the Logic instruments in Finale. Third party VIs (including Garritan's) can be used in either as long as they are 64 bit AU. 

Again, DAWs have user groups that can help you with this.