I do see references to it being a SoundFont-supporting game, but I just found a manual online and a search for "SoundFont" returned nothing. I'm guessing that you're not required to do a thing. Perhaps its automatically loaded if it detects that you have a Sound Blaster AWE32 (which it was most likely designed for). If not, you could load it manually in the AWE32 control panel, but chances are you don't have an AWE32 in your computer. You probably could load it in something like VirtualMIDISynth, but you might as well just load a better, larger soundfont in that case. In other words, either way, my guess is that it's something that you can probably ignore, but I don't know much about the AWE32 or that game, so take my guess with a grain of salt.

At the moment I have an audigy which supports soundfonts
ps: i didnt know it was possible for a game to automatically load them and theres no instructions telling you to load the soundfont