The 'rubbish sounds' that you are hearing are coming from your own sound card! Sibelius doesn't include any virtual instruments or sounds. You have the option to use your sound card sounds or use external hardware like a keyboard / module.
Although I suspect you have a cheapy card, most soundcards which have sounds are consumer cards for novices.To use your keyboard sounds:
Open Sibelius / Play Menu / Substitute Devices / Reset Sounds - This should now display your MIDI connections to your keyboard/module which can now be accessed via MIDI.