First of all, please check that "Use VST" is activated. You'll find this button within the main menu "Playback", tab "VST". Now, for the sound or program changes:
Back to your score, press "ctrl+1", double-click the desired stave to open the "Staff Properties"
(Here's a how-to).
Select the tab "Instrument".
Click the "List <<" button.
More options appear.
Select the button "New Patch" - it's the small, green one.
Select the desired bar and timing for your change: 001:01:000.
001 (bar): 01 (beat):000
For example, 003:02:000 refers to the second beat of the third bar of your score.
Select the patch and confirm your choice by "Apply".
Here's a screencast. You can hear the different sounds at 1:17.