To setup a device using Midi output, select
Midi output in the Protocols column of the
Add device window.
Devices middle column, you can select your desired Midi input device.
If you plugged in your Midi device after launching score, you may need to restart score so your it appears in the Devices column.
Optionally, you can set a custom name (or use the default one).
On platform that support it (macOS and Linux), you can create a virtual MIDI device.